MCMC interweaving strategy for estimating stochastic volatility model and its applicationInterweaving strategyKalman filteringMCMC algorithmStochastic volatility modelEfficient estimation for a stochastic volat
: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 ...
Metropolis-hastings adaptive algorithm and its application [J]. Systems Engineering-Theory & Practice, 2008,(1): 100-108. [13] 朱嵩,刘国华,王立忠,等.水动力-水质耦合模型污染源识别的贝 叶斯方法 [J]. 四川大学学报(工程科学版), 2009,41(5):30-35. Zhu S, Liu G H, Wang L Z, et al. ...
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 ...
In the lower layer, we sample [Math Processing Error] for [Math Processing Error] and [Math Processing Error], and assign weights to each sample. Table 3. LAIS algorithm. Choose [Math Processing Error], [Math Processing Error] and the MCMC algorithms in the upper layer. Upper layer (MCMC...
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...
We can now generate two random vectors μ¯ and ν¯ containing the sum of each row and column with Algorithm 1. To obtain an actual matrix of costs, we use Markov Chains to generate the corresponding contingency table. Random generation using finite discrete Markov Chains can easily be ex...
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...