Arbitrage theory is used to price forward (futures) contracts in energy markets, where the underlying assets are non-tradeable. The method is based on the so-called 'fitting of the yield curve' technique from interest rate theory. The spot price dynamics of Schwartz is generalized to...

The filtering problem (or the dynamic data assimilation problem) is studied for linear and nonlinear systems with continuous state space and over discrete time steps. Filtering approaches based on the conjugate closed skewed normal probability density function are presented. This distribution...

The challenges of estimating hierarchical spatial models to large datasets are addressed. With the increasing availability of geocoded scientific data, hierarchical models involving spatial processes have become a popular method for carrying out spatial inference. Such models are customarily...

We propose new Metropolis-Hastings algorithms for sampling from multimodal dis- tributions on ℜ-super-"n". Tjelmeland and Hegstad have obtained direct mode jumping proposals by optimization within Metropolis-Hastings updates and different proposals for 'forward' and 'backward' steps. We...

In this paper we propose fast approximate methods for computing posterior marginals in spatial generalized linear mixed models. We consider the common geostatistical case with a high dimensional latent spatial variable and observations at known registration sites. The methods of inference are...

Spatial generalized linear mixed models are common in applied statistics. Most users are satisfied using a Gaussian distribution for the spatial latent variables in this model, but it is unclear whether the Gaussian assumption holds. Wrong Gaussian assumptions cause bias in the parameter...