A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
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Publication:528082
DOI10.1016/j.jeconom.2012.06.011zbMath1443.62465OpenAlexW2071489510MaRDI QIDQ528082
Anne Opschoor, Lennart F. Hoogerheide, Hermann K. Van Dijk
Publication date: 12 May 2017
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://papers.tinbergen.nl/12026.pdf
importance samplingKullback-Leibler divergenceMetropolis-Hastings algorithminstrumental variablespredictive likelihoodexpectation maximizationDCC GARCHmixture GARCHmixture of Student-\(t\) distributions
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)
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