Blar i Norges Banks vitenarkiv på emneord "MCMC"

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    • Monitoring multicountry macroeconomic risk 

      Korobilis, Dimitris; Schröder, Maximilian (Working paper;9/2023, Working paper, 2023)
      We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence ...

    • 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 ...