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Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010399681

Scalable MCMC for large data problems using data subsampling and the difference estimator

Quiroz, Matias; Villani, Mattias; Kohn, Robert - 2015

observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling …

Persistent link: https://www.econbiz.de/10011300365

Efficient Bayesian estimation and combination of GARCH-type models

Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010

used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …

Persistent link: https://www.econbiz.de/10011380465

A non-linear forecast combination procedure for binary outcomes

Lahiri, Kajal; Yang, Liu - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...

Persistent link: https://www.econbiz.de/10010475341

A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model

Fung, Eric - 2012

In this paper, we propose a Markov Chain Quasi-Monte Carlo (MCQMC) approach for Bayesian estimation of a discrete-time version of the stochastic volatility (SV) model. The Bayesian approach represents a feasible way to estimate SV models. Under the conventional Bayesian estimation method for SV...

Persistent link: https://www.econbiz.de/10013116422

Bayesian analysis of bubbles in asset prices

Fulop, Andras; Yu, Jun - In: Econometrics : open access journal 5 (2017) 4, pp. 1-23

We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...

Persistent link: https://www.econbiz.de/10011781855

Speeding up MCMC by delayed acceptance and data subsampling

Quiroz, Matias - 2015

observations. A key feature of our approach is the use of the highly efficient difference estimator from the survey sampling …

Persistent link: https://www.econbiz.de/10011300362

K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?

Kaufmann, Sylvia - 2014

Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition …. Identification issues are addressed with random permutation sampling. In terms of efficiency, the extension to the difference in … random utility specification in combination with random permutation sampling performs best. We apply the method to estimate a …

Persistent link: https://www.econbiz.de/10010493611

Bayesian Inference of Asymmetric Stochastic Conditional Duration Models

Men, Zhongxian - 2015

This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process with the aim of improving the statistical fit of the model. Suitable...

Persistent link: https://www.econbiz.de/10013035789

Do maternal health problems influence child's worrying status? : evidence from British cohort study

Dai, Xianhua; Härdle, Wolfgang; Yu, Keming - 2014

The influence of maternal health problems on child's worrying status is important in practice in terms of the intervention of maternal health problems early for the influence on child's worrying status. Conventional methods apply symmetric prior distributions such as a normal distribution or a...

Persistent link: https://www.econbiz.de/10010253468