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(GLMs) with gamma-distributed responses estimated using the Bayesian approach coupled with the Markov Chain Monte Carlo … the Bayesian-MCMC method is carried out using the Gibbs sampler algorithm. The performance of proposed model is conducted … for the observed data. The predictive accuracy of this model is compared with other Bayesian models using the widely …
Persistent link: https://www.econbiz.de/10013533212
students' travel mode choices. We have proposed two Bayesian models - a basic model and a spatial model - with structured and …
Persistent link: https://www.econbiz.de/10015272911
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...
Persistent link: https://www.econbiz.de/10011505836
such a purpose, we consider a practical Bayesian framework for the calibration and validation of a computer code used to … cell in a given period of time. Finally, Bayesian decision-making methods are used to choose the optimal fixed rate (for … significant contributions of the paper. First of all, the case study data were never analyzed from a Bayesian viewpoint, which is …
Persistent link: https://www.econbiz.de/10013533238
The COVID-19 pandemic is characterized by a recurring sequence of peaks and troughs. This article proposes a regime-switching unobserved components (UC) approach to model the trend of COVID-19 infections as a function of this ebb and flow pattern. Estimated regime probabilities indicate the...
Persistent link: https://www.econbiz.de/10014362546
estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined …
Persistent link: https://www.econbiz.de/10014362627
This paper proposes the use of Bayesian inference techniques to search for and obtain valid instruments in dynamic …
Persistent link: https://www.econbiz.de/10015272724
This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications,...
Persistent link: https://www.econbiz.de/10010237107
This paper develops model selection and averaging methods for moment restriction models. We first propose a focused information criterion based on the generalized empirical likelihood estimator. We address the issue of selecting an optimal model, rather than a correct model, for estimating a...
Persistent link: https://www.econbiz.de/10009776348
Persistent link: https://www.econbiz.de/10011504585