Temat: MCMC methods - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: A Note on Lenk’s Correction of the Harmonic Mean Estimator
Autorzy:: Pajor, Anna
Osiewalski, Jacek
Powiązania:: https://bibliotekanauki.pl/articles/483355.pdf
Data publikacji:: 2013
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: Bayesian inference
marginal data density
MCMC methods
Opis:: The paper refines Lenk’s concept of improving the performance of the computed harmonic mean estimator (HME) in three directions. First, the adjusted HME is derived from an exact analytical identity. Second, Lenk’s assumption concerning the appropriate subset A of the parameter space is significantly weakened. Third, it is shown that, under certain restrictions imposed on A, a fundamental identity underlying the HME also holds for improper prior densities, which substantially extends applicability of the adjusted HME.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2013, 5, 4; 271-275
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Bayesian SVLEDEJ Model for Detecting Jumps in Logarithmic Growth Rates of One Month Forward Gas Contract Prices
Autorzy:: Kostrzewski, Maciej
Powiązania:: https://bibliotekanauki.pl/articles/2076470.pdf
Data publikacji:: 2016
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: jump-diffusion model
stochastic volatility
Bayesian approach
MCMC methods
gas forward prices
Opis:: A Bayesian stochastic volatility model with a leverage effect, normal errors and jump component with the double exponential distribution of a jump value is proposed. The ready to use Gibbs sampler is presented, which enables one to conduct statistical inference. In the empirical study, the SVLEDEJ model is applied to model logarithmic growth rates of one month forward gas prices. The results reveal an important role of both jump and stochastic volatility components.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2016, 3; 161-179
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Autorzy:: Kostrzewski, Maciej
Powiązania:: https://bibliotekanauki.pl/articles/2076552.pdf
Data publikacji:: 2015
Wydawca:: Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:: double exponential jump diffusion model
Kou model
Bernoulli jump-diffusion model
MCMC methods
latent variables
Opis:: News might trigger jump arrivals in financial time series. The "bad" news and "good" news seem to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection of jumps and analysis of jump frequency. The methodology, founded upon the idea of latent variables, is illustrated with simulated data.
Źródło:: Central European Journal of Economic Modelling and Econometrics; 2015, 1; 43-70
2080-0886
2080-119X
Pojawia się w:: Central European Journal of Economic Modelling and Econometrics
Dostawca treści:: Biblioteka Nauki

Artykuł

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