Adaptive Polar Sampling (APS) algorithms are proposed for Bayesian analysis of models with nonelliptical, possibly, multimodal posterior distributions. A location-scale transformation and a transformation to polar coordinates are used. After the transformation to polar coordinates, a...

In this short paper we summarize the computational steps of Adaptive Radial-Based Direction Sampling (ARDS), which can be used for Bayesian analysis of ill behaved target densities. We consider one simulation experiment in order to illustrate the good performance of ARDS relative to the...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Adaptive Polar Sampling is proposed as an algorithm where random drawings are directly generated from the target function (posterior) in all-but-one directions of the parameter space. The method is based on the mixed integration technique of Van Dijk, Kloek & Boender (1985) but extends this one...

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian inference. Next, the most popular and well-known...

We construct models which enable a decision-maker to analyze the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model...

Internationally operating firms naturally face the decision whether or not to hedge the currency risk implied by foreign investments. In a recent paper, Bos, Mahieu and van Dijk evaluate the returns from optimal and alternative currency hedging strategies, for a series of 7 models, using...

Exchange rates typically exhibit time-varying patterns in both means and variances. The histograms of such series indicate heavy tails. In this paper we construct models which enable a decision-maker to analyze the implications of such time series patterns for currency risk management. Our...

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiency from such a distribution, location-scale transformation and a transformation to polar coordinates are used.

The authors propose a statistical methodology to test changes in consumer confidence indicators. These indicators are surveyed monthly and each time concern di®erent individuals. This complicates a straightforward interpretation of changes in the values of the index. The proposed methodology...