Browsing Arbeidsnotater / Working Papers by Subject "importance sampling"
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Partially Censored Posterior for robust and efficient risk evaluation
(Working Paper;12/2019, Working paper, 2019)A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ... -
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 ...