Bayesian Inference in Econometric Models Using Monte Carlo Integration
From MaRDI portal
Publication:4733274
Recommendations
Cited in
(only showing first 100 items - show all)- Is a voluntary approach an effective environmental policy instrument?: A case for environmental management systems
- An efficient computational approach for prior sensitivity analysis and cross‐validation
- Forecasting time series with common seasonal patterns (with discussion)
- Bayesian causal effects in quantiles: accounting for heteroscedasticity
- The HESSIAN method: highly efficient simulation smoothing, in a nutshell
- Exact predictive densities for linear models with ARCH disturbances
- Adaptive mixture importance sampling
- Safe adaptive importance sampling: a mixture approach
- Consistent estimation of the accuracy of importance sampling using regenerative simulation
- Importance sampling algorithms for Bayesian networks: principles and performance
- Flexible modeling of conditional distributions using smooth mixtures of asymmetric Student \(t\) densities
- Monte Carlo sampling from the quantum state space. I
- Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations
- Layer sampling
- A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
- Computing highly accurate confidence limits from discrete data using importance sampling
- Bayesian analysis of nested logit model by Markov chain Monte Carlo.
- Nonlinear random effects mixture models: maximum likelihood estimation via the EM algorithm
- Marginal likelihoods for non-Gaussian models using auxiliary mixture sampling
- A Bayesian analysis of simultaneous equation models by combining recursive analytical and numerical approaches
- Efficient and accurate approximate Bayesian inference with an application to insurance data
- Monte-Carlo evaluation of multivariate normal probabilities
- An iterative version of the adaptive Gaussian mixture filter
- Use in practice of importance sampling for repeated MCMC for Poisson models
- From EM to data augmentation: the emergence of MCMC Bayesian computation in the 1980s
- Real-time rational expectations and indeterminacy
- Adaptive importance sampling in monte carlo integration
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- The dynamic factor network model with an application to international trade
- Monte Carlo evaluation of multivariate Student's t probabilities
- A general approach to Bayesian portfolio optimization
- Properties of the bridge sampler with a focus on splitting the MCMC sample
- A regularized bridge sampler for sparsely sampled diffusions
- A new method for evaluation of the Fisher information matrix for discrete mixed effect models using Monte Carlo sampling and adaptive Gaussian quadrature
- Bayesian analysis of long memory and persistence using ARFIMA models
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Bayesian analysis of logit models using natural conjugate priors
- Particle efficient importance sampling
- Bayesian bootstrap multivariate regression
- A Bayesian analysis of log-periodic precursors to financial crashes
- Theoretical analysis and practical insights on importance sampling in Bayesian networks
- Sequentially adaptive Bayesian learning algorithms for inference and optimization
- Sequential Monte Carlo methods for joint detection and tracking of multiaspect targets in infrared radar images
- Information Theoretic and Entropy Methods: An Overview
- Efficient estimation and filtering for multivariate jump-diffusions
- A simulation approach to the problem of computing Cox's statistic for testing nonnested models
- Bayesian option pricing using mixed normal heteroskedasticity models
- A generalized bivariate mixture model for stock price volatility and trading volume
- Bayesian analysis of two dependent \(2\times 2\) contingency tables
- Maximum likelihood estimation of factor and ideal point models for paired comparison data
- The performance of German firms in the business-related service sectors revisited: Differential evolution Markov chain estimation of the multinomial probit model
- Model weights for model choice and averaging
- Semiparametric thurstonian models for recurrent choices: a Bayesian analysis
- A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
- Analysis of the posterior for spline estimators in logistic regression
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood
- Efficient importance sampling in mixture frameworks
- Nonstandard central limit theorems for Markov chains
- Ensemble Kalman sampler: mean-field limit and convergence analysis
- scientific article; zbMATH DE number 4056858 (Why is no real title available?)
- Bayesian reduced rank regression in econometrics
- Dirac mixture approximation for nonlinear stochastic filtering
- A bayesian analysis of trend determination in economic time series
- Bayesian variable selection for latent class analysis using a collapsed Gibbs sampler
- Maximum likelihood estimation of partially observed diffusion models
- Particle filters for continuous likelihood evaluation and maximisation
- Seminonparametric Bayesian estimation of the asymptotically ideal production model
- Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
- Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models
- Bandwidth selection in pre-smoothed particle filters
- ARCH modeling in finance. A review of the theory and empirical evidence
- Bayes inference in the Tobit censored regression model
- A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
- Systemic decision making in AHP: a Bayesian approach
- Antithetic acceleration of Monte Carlo integration in Bayesian inference
- Bayesian Analysis of DSGE Models
- On markov chain monte carlo methods for nonlinear and non-gaussian state-space models
- The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries
- Bayesian point estimation of the cointegration space
- 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
- Modeling the diffusion of scientific publications
- On Monte Carlo methods for estimating ratios of normalizing constants
- Efficient high-dimensional importance sampling
- Is the market price of risk infinite?
- Generalized Safety First and a New Twist on Portfolio Performance
- Bayesian estimation via sequential Monte Carlo sampling-Constrained dynamic systems
- Better confidence intervals for importance sampling
- Relevance of functional flexibility for heterogeneous sales response models: a comparison of parametric and semi-nonparametric models
- Modeling publication bias using weighted distributions in a Bayesian framework.
- A tutorial on Bayes factor estimation with the product space method
- The finite sample properties of simultaneous equations' estimates and estimators. Bayesian and non-Bayesian approaches
- Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
- Low-rank separated representation surrogates of high-dimensional stochastic functions: application in Bayesian inference
- Bayesian exploratory factor analysis
- On the use of stochastic approximation Monte Carlo for Monte Carlo integration
- Alternative sampling methods for estimating multivariate normal probabilities
- Bayesian Model Assessment and Comparison Using Cross-Validation Predictive Densities
- Learning Bayesian networks for discrete data
- An empirical analysis of earnings dynamics among men in the PSID: 1968--1989
This page was built for publication: Bayesian Inference in Econometric Models Using Monte Carlo Integration
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4733274)