Testing the assumptions behind importance sampling
From MaRDI portal
Publication:302094
DOI10.1016/j.jeconom.2008.10.002zbMath1429.62681OpenAlexW2125581242MaRDI QIDQ302094
Siem Jan Koopman, Neil Shephard, Drew D. Creal
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2008.10.002
Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Statistics of extreme values; tail inference (62G32) Monte Carlo methods (65C05)
Related Items
Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* ⋮ Importance Sampling-Based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models ⋮ Testing for the shape parameter of generalized extreme value distribution based on the \(L_q\)-likelihood ratio statistic ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ The dynamic factor network model with an application to international trade ⋮ Particle efficient importance sampling ⋮ A triple-threshold leverage stochastic volatility model ⋮ Efficient importance sampling maximum likelihood estimation of stochastic differential equations ⋮ Maximum likelihood estimation of partially observed diffusion models ⋮ Generalized dynamic panel data models with random effects for cross-section and time ⋮ Uncertainty quantification of stochastic simulation for black-box computer experiments ⋮ Inference in Bayesian proxy-SVARs ⋮ New proposals for the quantification of qualitative survey data ⋮ Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC ⋮ Improving MCMC, using efficient importance sampling ⋮ Efficient simulated maximum likelihood estimation through explicitly parameter dependent importance sampling ⋮ American option pricing under GARCH diffusion model: an empirical study ⋮ A regularized bridge sampler for sparsely sampled diffusions ⋮ Simulation-Based Estimation Methods for Financial Time Series Models ⋮ Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Efficient high-dimensional importance sampling
- On asymptotic normality of Hill's estimator for the exponent of regular variation
- Estimating tails of probability distributions
- Statistical inference using extreme order statistics
- A simple general approach to inference about the tail of a distribution
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Statistical methods in finance
- Inference in hidden Markov models.
- Monte Carlo Estimation for Nonlinear Non-Gaussian State Space Models
- Maximum likelihood estimation in a class of nonregular cases
- Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
- Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo
- Likelihood analysis of non-Gaussian measurement time series
- Monte Carlo maximum likelihood estimation for non-Gaussian state space models
- Likelihood Inference for Discretely Observed Nonlinear Diffusions
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Bayesian Analysis of DSGE Models
- Methods of Reducing Sample Size in Monte Carlo Computations
- Asymmetric Multivariate Stochastic Volatility
- Contemporary Bayesian Econometrics and Statistics
- On the Distribution of the Likelihood Ratio
- Numerical Methods of Statistics
- Monte Carlo strategies in scientific computing
