Narrow search
Showing 1 - 10 of 716,346
Cover Image
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
Cover Image
JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10003727355
Cover Image
Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10003636133
Cover Image
Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models
Delli Gatti, Domenico - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573
Cover Image
Rising to the challenge : Bayesian estimation and forecasting techniques for macroeconomic agent-based models
Delli Gatti, Domenico; Grazzini, Jakob - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012119860
Cover Image
Better Investing Through Factors, Regimes and Sensitivity Analysis
Homescu, Cristian - 2015
Recent periods of market turbulence and stress have created considerable interest in credible alternatives to traditional asset allocation methodologies. It would be preferred if portfolios can be decomposed into components that can be directly connected to independent risks and individually...
Persistent link: https://www.econbiz.de/10013029300
Cover Image
Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
Cover Image
Calculation of Transition Probabilities of SDEs Only from the Knowledge of Marginal Probabilities Using the CDF-Equivalent Brownian Motion Method
Amin, Ahsan - 2018
In this article, we show how to calculate the conditional and transition probabilities of any SDE between two different points across time only from the knowledge of their marginal probabilities on these two time grids. Briefly, we construct CDF-Equivalent standard Brownian motion grids from the...
Persistent link: https://www.econbiz.de/10012928070
Cover Image
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
Cover Image
Parallelization experience with four canonical econometric models using ParMitISEM
Baştürk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-20
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...
Persistent link: https://www.econbiz.de/10011504818