Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods
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- Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," Journal of Econometrics, Elsevier, vol. 123(2), pages 201-225, December.
- BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," LIDAM Reprints CORE 1731, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Bayesian inference for the mixed conditional heteroskedasticity model,"
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- Luc, Bauwens & J.V.K., ROMBOUTS, 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," Discussion Papers (ECON - Département des Sciences Economiques) 2005058, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & ROMBOUTS, Jeroen VK, 2007. "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Reprints CORE 1931, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & ROMBOUTS, Jeroen V.K., 2005. "Bayesian inference for the mixed conditional heteroskedasticity model," LIDAM Discussion Papers CORE 2005085, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Jeroen V.K. Rombouts, 2006. "Bayesian inference for the mixed conditional heteroskedasticity model," Cahiers de recherche 06-07, HEC Montréal, Institut d'économie appliquée.
- Hoogerheide, Lennart F. & Kaashoek, Johan F. & van Dijk, Herman K., 2007.
"On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks,"
Journal of Econometrics, Elsevier, vol. 139(1), pages 154-180, July.
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," LIDAM Discussion Papers CORE 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & van DIJK, Herman K., 2007. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," LIDAM Reprints CORE 1922, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks," Econometric Institute Research Papers EI 2005-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Tsionas, Mike G., 2019. "Multi-objective optimization using statistical models," European Journal of Operational Research, Elsevier, vol. 276(1), pages 364-378.
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- Martin Burda & John M. Maheu, 2012. "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series 46_12, Rimini Centre for Economic Analysis.
- Hoogerheide, L.F. & Kaashoek, J.F. & van Dijk, H.K., 2004. "Neural network based approximations to posterior densities: a class of flexible sampling methods with applications to reduced rank models," Econometric Institute Research Papers EI 2004-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Explaining Adaptive Radial-Based Direction Sampling," Econometric Institute Research Papers EI 2003-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- HOOGERHEIDE, Lennart F. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2007. "Simulation based Bayesian econometric inference: principles and some recent computational advances," LIDAM Discussion Papers CORE 2007015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
- McCausland, William J., 2008. "On Bayesian analysis and computation for functions with monotonicity and curvature restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 484-507, January.
- Ardia, David & Baştürk, Nalan & Hoogerheide, Lennart & van Dijk, Herman K., 2012.
"A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood,"
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- David Ardia & Nalan Basturk & Lennart Hoogerheide & Herman K. van Dijk, 2010. "A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood," Tinbergen Institute Discussion Papers 10-059/4, Tinbergen Institute.
- Rodney Strachan & Herman K. van Dijk, "undated".
"Bayesian Model Averaging in Vector Autoregressive Processes with an Investigation of Stability of the US Great Ratios and Risk of a Liquidity Trap in the USA, UK and Japan,"
MRG Discussion Paper Series
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- Strachan, R.W. & van Dijk, H.K., 2007. "Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan," Econometric Institute Research Papers EI 2007-11, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Dellaportas, Petros & Tsionas, Mike G., 2019. "Importance sampling from posterior distributions using copula-like approximations," Journal of Econometrics, Elsevier, vol. 210(1), pages 45-57.
- Hoogerheide, L.F. & van Dijk, H.K., 2007. "Note on neural network sampling for Bayesian inference of mixture processes," Econometric Institute Research Papers EI 2007-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David Ardia & Lennart Hoogerheide & Herman K. van Dijk, 2009. "To Bridge, to Warp or to Wrap? A Comparative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihoods," Tinbergen Institute Discussion Papers 09-017/4, Tinbergen Institute.
- Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
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More about this item
Keywords
Markov chain Monte Carlo; importance sampling; radial coordinates;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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