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~person:"van Dijk, Herman K."
~subject:"Stichprobenverfahren"
~subject:"ARCH-Modell"
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Stichprobenverfahren
ARCH-Modell
importance sampling
12
Statistische Verteilung
7
Bayesian inference
6
Metropolis-Hastings algorithm
6
R software
6
Algorithmus
5
Bayes-Statistik
5
Student-t distributions
5
Theorie
5
Expectation Maximization
4
MCMC
4
adaptive mixture
4
finite mixtures
4
Bayesian
3
mixture of Student-t distributions
3
Bayes factor
2
Expected Shortfall
2
Importance Sampling
2
Kullback-Leibler divergence
2
Markov chain Monte Carlo
2
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2
Prognoseverfahren
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Risikomaß
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Student-t densities
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Value at Risk
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adaptive mixture of Student-t distributions
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bridge sampling
2
expectation maximization
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independence chain Metropolis-Hasting algorithm
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independence chain Metropolis-Hastings algorithm
2
marginal likelihood
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DCC GARCH
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Instrumentalvariablen-Schätzmethode
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van Dijk, Herman K.
Hoogerheide, Lennart
7
Opschoor, Anne
6
Ardia, David
5
Hoogerheide, Lennart F.
4
Dijk, Herman K. van
3
Koopman, Siem Jan
3
Lucas, André
3
Almeida, Rui Jorge
2
Basturk, Nalan
2
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2
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1
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1
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C. Sousa, João M.
1
Cerqueira, Vinícius dos Santos
1
Cheruvelil, Roy M.
1
Costa Sousa, João Miguel da
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1
Fonseca, Thaís C. O. da
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1
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Tinbergen Institute Discussion Paper
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EconStor
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1
The R Package MitISEM: Mixture of
Student-t
Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation
Basturk, Nalan
;
Hoogerheide, Lennart
;
Opschoor, Anne
; …
-
2012
-elliptical target density using adaptive mixtures of
Student-t
densities, where only a kernel of the target density is required. The …
Persistent link: https://www.econbiz.de/10010326521
Saved in:
2
A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
van Dijk, Herman K.
-
2012
to efficiently construct a mixture of
Student-t
densities that approximates accurately the target distribution …
Persistent link: https://www.econbiz.de/10010326223
Saved in:
3
A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
van Dijk, Herman K.
-
2011
to efficiently construct a mixture of
Student-t
densities that approximates accurately the target distribution -typically …
Persistent link: https://www.econbiz.de/10010325702
Saved in:
4
To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods
Ardia, David
;
Hoogerheide, Lennart
;
van Dijk, Herman K.
-
2009
respect, the adaptive mixture of
Student-t
distributions of Hoogerheide et al.(2007) works particularly well. Given an …
Persistent link: https://www.econbiz.de/10010325939
Saved in:
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