A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation (Q528082)
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scientific article; zbMATH DE number 6714783
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| English | A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation |
scientific article; zbMATH DE number 6714783 |
Statements
A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation (English)
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12 May 2017
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mixture of Student-\(t\) distributions
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importance sampling
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Kullback-Leibler divergence
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expectation maximization
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Metropolis-Hastings algorithm
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predictive likelihood
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DCC GARCH
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mixture GARCH
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instrumental variables
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0.7665243744850159
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0.7626115679740906
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0.760650634765625
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0.7547749280929565
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0.7547749280929565
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