Results 111 to 120 of about 5,420,390 (236)

Zero variance in Markov chain Monte Carlo with an application to credit risk estimation [PDF]

We propose a general purpose variance reduction technique for Markov Chain Monte Carlo estimators based on the Zero-Variance principle introduced in the physics lit- erature by Assaraf and Caarel ( 1999). The potential of the new idea is illustrated with
Tenconi Paolo
core  

Understanding the Metropolis-Hastings Algorithm

, 1995
S. Chib, E. Greenberg
semanticscholar   +1 more source

Hastings-Metropolis algorithm on Markov chains for small-probability estimation [PDF]

, 2014
François Bachoc, Lionel Lenôtre, Achref Bachouch   +2 more
openalex   +1 more source

Erratum: A Constrained Metropolis–Hastings Robbins–Monro Algorithm for Q Matrix Estimation in DINA Models [PDF]

Chen‐Wei Liu, Björn Andersson, Anders Skrondal   +2 more
openalex   +1 more source

Tephra deposit inversion by coupling Tephra2 with the Metropolis-Hastings algorithm: algorithm introduction and demonstration with synthetic datasets [PDF]

, 2020
Qingyuan Yang, E. Bruce Pitman, Marcus Bursik, Susanna F. Jenkins   +3 more
openalex   +1 more source

Metropolis-Hastings algorithms with autoregressive proposals, and a few examples [PDF]

, 2016
Richard A. Norton, Colin Fox
openalex   +1 more source

RPEM: Randomized Monte Carlo parametric expectation maximization algorithm

CPT: Pharmacometrics & Systems Pharmacology
Inspired from quantum Monte Carlo, by sampling discrete and continuous variables at the same time using the Metropolis–Hastings algorithm, we present a novel, fast, and accurate high performance Monte Carlo Parametric Expectation Maximization (MCPEM ...
Rong Chen, Alan Schumitzky, Alona Kryshchenko, Keith Nieforth, Michael Tomashevskiy, Shuhua Hu, Romain Garreau, Julian Otalvaro, Walter Yamada, Michael N. Neely   +9 more
doaj   +1 more source

Examining the Performance of the Metropolis–Hastings Robbins–Monro Algorithm in the Estimation of Multilevel Multidimensional IRT Models

, 2017
Bozhidar M. Bashkov, Christine E. DeMars
openalex   +2 more sources

Estimation and Bayesian Prediction of the Generalized Pareto Distribution in the Context of a Progressive Type-II Censoring Scheme

Applied Sciences
The generalized Pareto distribution plays a significant role in reliability research. This study concentrates on the statistical inference of the generalized Pareto distribution utilizing progressively Type-II censored data.
Tianrui Ye, Wenhao Gui
doaj   +1 more source

MODEL VOLATILITAS GARCH(1,1) DENGAN ERROR STUDENT-T UNTUK KURS BELI EUR DAN JPY TERHADAP IDR

Jurnal MIPA, 2016
Studi ini menyajikan model volatilitas Generalized Autoregressive Conditional Heteroscedasticity (GARCH)(1,1) untuk returns keuangan yang mengasumsikan bahwa returns error berdistribusi Student-t.
F. C. Salim, D. B. Nugroho, B. Susanto
doaj