Search Results - subject:"particle Markov Chain Monte Carlo"

Affine Mortality Models with Jumps : Parameter Estimation and Forecasting

Garces, Len Patrick; Kolar, Jovana; Sherris, Michael; … - 2022

In this paper, we investigate the dynamics of age-cohort survival curves under the assumption that the instantaneous mortality intensity is driven by an affine jump-diffusion (AJD) process. Advantages of an AJD specification of mortality dynamics include the availability of closed-form...

Persistent link: https://www.econbiz.de/10014076956

Affine mortality models with jumps : parameter estimation and forecasting

Garces, Len Patrick Dominic M.; Kolar, Jovana; Sherris, … - 2022

Persistent link: https://www.econbiz.de/10013534309

Particle rolling mcmc with double-block sampling

Awaya, Naoki; Omori, Yasuhiro - 2021

Persistent link: https://www.econbiz.de/10013339020

An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models

Nguyen, Ha - In: Journal of empirical finance 72 (2023), pp. 103-121

Persistent link: https://www.econbiz.de/10014476811

Sequential Bayesian analysis for semiparametric stochastic volatility model with applications

Wang, Nianling; Lou, Zhusheng - In: Economic modelling 123 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014462582

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

Historical and risk-neutral estimation in a two factors stochastic volatility model for oil markets

Fileccia, Gaetano; Sgarra, Carlo - In: International journal of computational economics and … 5 (2015) 4, pp. 451-479

Persistent link: https://www.econbiz.de/10011440890

A Bayesian mixture of lasso regressions with t-errors

Cozzini, Alberto; Jasra, Ajay; Montana, Giovanni; … - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 84-97

-of-the-art Particle Markov chain Monte Carlo (PMCMC) algorithm based upon sequential Monte Carlo (SMC) methods is developed. The model and …

Persistent link: https://www.econbiz.de/10010871312

SMC^2: an efficient algorithm for sequential analysis of state-space models

Chopin, Nicolas; Jacob, Pierre E.; Papaspiliopoulos, Omiros - Université Paris-Dauphine (Paris IX) - 2013

the random weight particle filter as in Fearnhead et al. (2010). On the other hand, the particle Markov chain Monte Carlo …

Persistent link: https://www.econbiz.de/10011166506