Blar i Norges Banks vitenarkiv på emneord "Metropolis-Hastings algorithm"
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Forecasting Commodity Currencies: The Role of Fundamentals with Short-Lived Predictive Content
(Working Papers;14/2015, Working paper, 2015)Recent evidence highlights that commodity price changes exhibit a short-lived, yet robust contemporaneous effect on commodity currencies, which is mainly detectable in daily-frequency data. We use MIDAS models in a Bayesian ... -
The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference
(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 ...