MCMC interweaving strategy for estimating stochastic volatility model and its applicationInterweaving strategyKalman filteringMCMC algorithmStochastic volatility modelEfficient estimation for a stochastic volatility (SV) model has been actively pursued in recent years. In this paper, a new Markov chain Monte...
:Metropolis–Hastings algorithm)是统计学与统计物理中的一种马尔科夫蒙特卡洛(MCMC)方法,用于在难以直接采样时从某一概率分布中抽取随机样本序列。得到的序列可用于估计该概率分布或计算积分...吉布斯采样 吉布斯采样(英语:Gibbs sampling)是统计学中用于马尔科夫蒙特卡洛(MCMC)的一种算法,用于在难以直接采样时从某一多...
关键词：相关系数平稳序列；MCMC 模拟；贝叶斯估计；Gibbs 抽样算法；电网负荷 中图分类号：O212; TP391 文献标识码：A 文章编号：1004-731X (2008) 14-3648-04 Correlation Coefficient Stationary Series Model Based on MCMC and ItsApplication LI Wei-guo 1, XIONG Bing-zhong 2 （1.Department ...
followedbytheuseoftheMarkovChainMonteCarlo(MCMC)algorithmto constraincosmologicalmodelparameters.Theresearchprocessanditsresults areasfollows: Usingthelatestsampleof221gamma-raybursts(GRBs),including49from theFermicatalog,theseGRBsaredividedintomultipleredshiftrangesusing 3 贵州师范大学硕士学位论文 GaussianProcesses...
modelsand exploits its heteroscedastics.The likelihood functionbasedonthe asymmetricLaplace distributionwas employedirrespective of the original distributionofthedata.To carry out Bayesian inferenceonthe quantile autoregression,the Metropolis-Hastings algorithm ...
3.2 The Hamiltonian Monte Carlo algorithm 现在,我们有介绍汉密尔顿蒙特卡洛(HMC)算法的背景。 HMC只能用于从Rd上的连续分布采样,可以对其进行密度函数求值(可能高达未知的归一化常数)。目前,我还将假设密度在任何地方都不为零(但这在5.1节中有所放松)。我们还必须能够计算密度函数的对数的偏导数。因此,这些导数必须...
data augmentation, regarding the missing path of the hidden processes as the augmented variables, is adopted in a Markov chain Monte Carlo (MCMC) algorithm to estimate the parameters in this reduced model from the partially observed signal. Howerver, direct application of this algorithm leads to an...
A specific implementation of the LAIS algorithm is determined by the choices of 1. the invariant densities ; 2. the MCMC approach (e.g., parallel or single longer chain Metropolis-Hastings, advanced MCMC schemes, etc.); 3. the proposals ; and 4. the denominator . Namely, a particular LAI...
Working in this general setting will allow our algorithm and its correctness results to rely only on the operational notion of transforming the state space in certain ways, and the resulting algorithms will remain unchanged under di?erent parameterizations of the state space. The state representation...
Indirect TARCH-CAViaR model and its parameter estimation by MCMC method with an application; 间接TARCH-CAViaR模型及其MCMC参数估计与应用11. New Method of Parameter Estimation under the IRT Model-MCMC Algorithm; IRT模型参数估计的新方法——MCMC算法12...