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To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods

Ardia, David; Hoogerheide, Lennart; van Dijk, Herman K. - 2009

importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative analysis is …

Persistent link: https://www.econbiz.de/10010325939

Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10010325987

Adaptive Mixture of Student-t distributions as a Flexible Candidate Distribution for Efficient Simulation

Ardia, David; Hoogerheide, Lennart F.; van Dijk, Herman K. - 2008

distribution given only a kernel of the target density function. The core algorithm consists in the function AdMit which fits an … the independence chain Metropolis- Hastings algorithm are used to obtain quantities of interest for the target density … the time-consuming and difficult task of tuning a sampling algorithm. The relevance of the package is shown in two …

Persistent link: https://www.econbiz.de/10010326034

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10010326148

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. - 2012

A class of adaptive sampling methods is introduced for efficient posterior and predictive simulation. The proposed methods are robust in the sense that they can handle target distributions that exhibit non-elliptical shapes such as multimodality and skewness. The basic method makes use of...

Persistent link: https://www.econbiz.de/10010326223

The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

model parameters and probabilities. The package provides also an extended MitISEM algorithm, 'sequential MitISEM', which … predictive likelihoods. We illustrate the MitISEM algorithm using three canonical statistical and econometric models that are …

Persistent link: https://www.econbiz.de/10010326521

Estimating global migration flow tables using place of birth data

Abel, Guy J. - 2012

A methodology to estimate flow tables of migration transitions for the globe is illustrated in two parts. First, a methodology to derive flows from sequential stock tables is developed. Second, the methodology is applied to recently released World Bank migration stock tables between 1960 and...

Persistent link: https://www.econbiz.de/10010352739

Inference based on SVARs identified with sign and zero restrictions: Theory and applications

Arias, Jonas E.; Rubio-Ramírez, Juan F.; Waggoner, … - 2014

provide an alternative and efficient algorithm that does not introduce any additional sign restriction, hence preserving the … important source of business cycle fluctuations or deficit-financed tax cuts work best at improving output. Our algorithm is not …

Persistent link: https://www.econbiz.de/10010397712

How to measure patent thickets – a novel approach

von Graevenitz, Georg; Wagner, Stefan; Harhoff, Dietmar - 2009

citations which allows us to measure the density of patent thickets directly. We discuss the algorithm which generates the …

Persistent link: https://www.econbiz.de/10010427770

College admissions with stable score-limits

Biró, Péter; Kiselgof, Sofya - 2013

A common feature of the Hungarian, Irish, Spanish and Turkish higher education admission systems is that the students apply for programmes and they are ranked according to their scores. Students who apply for a programme with the same score are in a tie. Ties are broken by lottery in Ireland, by...

Persistent link: https://www.econbiz.de/10010494544