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Mixture models, latent variables and partitioned importance sampling

Casella, George; Robert, Christian P.; Wells, Martin T. - 2000

Persistent link: https://www.econbiz.de/10001470588

The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models

Grothe, Oliver - 2017

Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the … generic and easily implementable SMC approach known as Particle Efficient Importance Sampling (PEIS). By using SMC importance … sampling densities which are approximately fully globally adapted to the targeted density of the states, PEIS can substantially …

Persistent link: https://www.econbiz.de/10012970355

Computing bayes : from then 'til now

Martin, Gael M.; Frazier, David T.; Robert, Christian P. - 2022

Persistent link: https://www.econbiz.de/10013494406

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912

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

Fitting a distribution to survey data for the half-life of deviations from PPP

Fisher, Mark - 2015

This note presents a nonparametric Bayesian approach to fitting a distribution to the survey data provided in Kilian and Zha (2002) regarding the prior for the half-life of deviations from purchasing power parity (PPP). A point mass at infinity is included. The unknown density is represented as...

Persistent link: https://www.econbiz.de/10011403123

A Bayesian sampling approach to measuring the price responsiveness of gasoline demand using a constrained partially linear model

Chen, Haotian; Smyth, Russell; Zhang, Xibin - In: Energy economics 67 (2017), pp. 346-354

Persistent link: https://www.econbiz.de/10011897930

Fast, approximate MCMC for Bayesian analysis of large data sets : a design based approach

Kaeding, Matthias - 2016

. The subsample is taken via the cube method, a balanced sampling design, which is defined by the property that the sample … dass dieser nicht gespeichert werden muss. Die Stichprobe wird via cube sampling, einem balanciertem Stichprobendesign …

Persistent link: https://www.econbiz.de/10011566817

On the practice of Bayesian inference in basic economic time series models using Gibbs sampling

Pooter, Michiel de; Segers, Rene; Dijk, Herman K. van - 2006

Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling …

Persistent link: https://www.econbiz.de/10011349180

Improving approximate Bayesian computation via quasi Monte Carlo

Buchholz, Alexander; Chopin, Nicolas - 2017

Persistent link: https://www.econbiz.de/10012198654