Zobrazeno 1 - 10
of 137
pro vyhledávání: '"McCabe, Brendan"'
The problem of estimating censored linear regression models with autocorrelated errors arises in many environmental and social studies. The present work proposes a Bayesian approach to estimate censored regression models with AR(p) errors. The algori
Externí odkaz:
http://arxiv.org/abs/2301.01852
Publikováno v:
In Journal of Econometrics January 2024 238(2)
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a particle marginal Metropolis-Hastings (PMMH) algorithm, and to produce dr
Externí odkaz:
http://arxiv.org/abs/1908.07204
Approximate Bayesian Computation (ABC) has become increasingly prominent as a method for conducting parameter inference in a range of challenging statistical problems, most notably those characterized by an intractable likelihood function. In this pa
Externí odkaz:
http://arxiv.org/abs/1712.07750
Autor:
Martin, Gael M., McCabe, Brendan P. M., Frazier, David T., Maneesoonthorn, Worapree, Robert, Christian P.
A computationally simple approach to inference in state space models is proposed, using approximate Bayesian computation (ABC). ABC avoids evaluation of an intractable likelihood by matching summary statistics for the observed data with statistics co
Externí odkaz:
http://arxiv.org/abs/1604.07949
A new approach to inference in state space models is proposed, based on approximate Bayesian computation (ABC). ABC avoids evaluation of the likelihood function by matching observed summary statistics with statistics computed from data simulated from
Externí odkaz:
http://arxiv.org/abs/1409.8363
Publikováno v:
In International Journal of Forecasting April-June 2019 35(2):521-539
Publikováno v:
Econometric Theory, 2007 Apr 01. 23(2), 355-363.
Externí odkaz:
https://www.jstor.org/stable/4126561
Publikováno v:
Econometric Theory, 2006 Jun 01. 22(3), 429-456.
Externí odkaz:
https://www.jstor.org/stable/4093235
Publikováno v:
Econometric Theory, 2003 Oct 01. 19(5), 829-864.
Externí odkaz:
https://www.jstor.org/stable/3533437