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Metropolis-Hastings prefetching algorithms

Strid, Ingvar (contributor) - 2008 - Rev. December 2, 2009

Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based … on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching … states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the prefetching …

Persistent link: https://www.econbiz.de/10003779724

The market resources method for solving dynamic optimization problems

Kabukçuoğlu, Ayşe; Martínez-García, Enrique - 2016 - This draft: June 16, 2016

We introduce the market resources method (MRM) for solving dynamic optimization problems. MRM extends Carroll’s (2006) endogenous grid point method (EGM) for problems with more than one control variable using policy function iteration. The MRM algorithm is simple to implement and provides...

Persistent link: https://www.econbiz.de/10011509578

An Efficient Algorithm for the Calibration of Agent-Based Models Using Machine Learning

Zegadło, Piotr - 2020

A new algorithm for calibrating agent-based models is proposed, which employs a popular gradient boosting framework. Machine learning techniques are not used to develop a surrogate model, but rather assist in narrowing down the parameter space during the search for optimal parameters. Our...

Persistent link: https://www.econbiz.de/10012839291

A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

Persistent link: https://www.econbiz.de/10012584957

Estimating stochastic ray production frontiers

Tsionas, Efthymios G.; Izzeldin, Marwan; Henningsen, Arne; … - 2019

In this paper, we consider the stochastic ray production function that has been revived recently by Henningsen et al. (2017). We use a profit-maximizing framework to resolve endogeneity problems that are likely to arise, as in all distance functions, and we derive the system of equations after...

Persistent link: https://www.econbiz.de/10012132673

Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines

Meier, Pirmin - 2012

We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of the studies in the literature that use an indirect approach, i.e. first estimating the physical and risk-neutral densities and obtaining the pricing kernel in a second step, we...

Persistent link: https://www.econbiz.de/10013108080

The endogenous grid method for discrete-continuous dynamic choice models with (or without) taste shocks

Iskhakov, Fedor; Jørgensen, Thomas H.; Rust, John; … - In: Quantitative economics : QE ; journal of the … 8 (2017) 2, pp. 317-365

We present a fast and accurate computational method for solving and estimating a class of dynamic programming models with discrete and continuous choice variables. The solution method we develop for structural estimation extends the en- dogenous grid-point method (EGM) to discrete-continuous...

Persistent link: https://www.econbiz.de/10011801539

Evolutionary Computational Approach in TAR Model Estimation

Parpinel, Francesca - 2012

The well-known SETAR model introduced by Tong belongs to the wide class of TAR models that may be specified in several different ways. Here we propose to consider the delay parameter as endogenous, that is we make it to depend on both the past value and the specific past regime of the series. In...

Persistent link: https://www.econbiz.de/10013111893

Median as a Weighted Arithmetic Mean of All Sample Observations : Obtaining Weights by the Host-Parasite Co-Evolutionary Algorithm of Global Optimization

Mishra, Sudhanshu K. - 2013

This note is intended to demonstrate that median (a well-known measure of central tendency) is a weighted arithmetic mean of all sample observations and such (non-trivial) weights may be computed by an optimization method such as the host-parasite co-evolutionary algorithm

Persistent link: https://www.econbiz.de/10014037959

A Comparison of Numerical Methods for the Solution of Continuous-Time DSGE Models

Parra-Alvarez, Juan Carlos - 2013

This paper evaluates the accuracy of a set of techniques that approximate the solution of continuous-time DSGE models. Using the neoclassical growth model I compare linear-quadratic, perturbation and projection methods. All techniques are applied to the HJB equation and the optimality conditions...

Persistent link: https://www.econbiz.de/10013072550