Zobrazeno 1 - 10
of 216
pro vyhledávání: '"Chib, Siddhartha"'
In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori et al. (2
Externí odkaz:
http://arxiv.org/abs/2404.13986
Autor:
Chib, Siddhartha, Shimizu, Kenichi
A common assumption in the fitting of unordered multinomial response models for $J$ mutually exclusive categories is that the responses arise from the same set of $J$ categories across subjects. However, when responses measure a choice made by the su
Externí odkaz:
http://arxiv.org/abs/2308.12470
Autor:
Chib, Siddhartha1 chib@wustl.edu, Smith, Simon C.2 simon.c.smith@frb.gov
Publikováno v:
Working Papers: U.S. Federal Reserve Board's Finance & Economic Discussion Series. May2024, p1-45. 46p.
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed to satisfy
Externí odkaz:
http://arxiv.org/abs/2110.13531
Publikováno v:
The Journal of Finance, 2020 Feb 01. 75(1), 551-577.
Externí odkaz:
https://www.jstor.org/stable/45277798
Autor:
Chib, Siddhartha, Kuffner, Todd A.
Good large sample performance is typically a minimum requirement of any model selection criterion. This article focuses on the consistency property of the Bayes factor, a commonly used model comparison tool, which has experienced a recent surge of at
Externí odkaz:
http://arxiv.org/abs/1607.00292
In this paper we consider the problem of inference in statistical models characterized by moment restrictions by casting the problem within the Exponentially Tilted Empirical Likelihood (ETEL) framework. Because the ETEL function has a well defined p
Externí odkaz:
http://arxiv.org/abs/1606.02931
Publikováno v:
Journal of the American Statistical Association, 2018 Dec 01. 113(524), 1656-1668.
Externí odkaz:
https://www.jstor.org/stable/45029548
Autor:
Chib, Siddhartha1 (AUTHOR) chib@wustl.edu, Zhao, Lingxiao2 (AUTHOR) lingxiao@phbs.pku.edu.cn, Zhou, Guofu1 (AUTHOR) zhou@wustl.edu
Publikováno v:
Management Science. Jan2024, Vol. 70 Issue 1, p396-414. 19p.
Publikováno v:
Journal of the Royal Statistical Society: Series B (Statistical Methodology). Jul2022, Vol. 84 Issue 3, p740-764. 25p.