Blar i Norges Banks vitenarkiv på emneord "Bayesian inference"

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    • Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;12/2015, Working paper, 2015)
      A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ...

    • The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference 

      Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. (Working Papers;10/2017, Working paper, 2017)
      This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density ...