A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Journal of Econometrics

Volumn 171, Issue 2, 2012, Pages 101-120

  Hoogerheide, Lennart ^a   Opschoor, Anne ^b   Van Dijk, Herman K ^b  

^a TINBERGEN INSTITUTE   (Netherlands)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

Author keywords

DCC GARCH; Expectation Maximization; Importance sampling; Instrumental variables; Kullback Leibler divergence; Metropolis Hastings algorithm; Mixture GARCH; Mixture of Student t distributions; Predictive likelihood

Indexed keywords

DCC GARCH; EXPECTATION MAXIMIZATION; INSTRUMENTAL VARIABLES; KULLBACK LEIBLER DIVERGENCE; METROPOLIS-HASTINGS ALGORITHM; PREDICTIVE LIKELIHOOD; STUDENT-T DISTRIBUTION;

ALGORITHMS; ESTIMATION; IMPORTANCE SAMPLING; MAXIMUM PRINCIPLE; MIXTURES; STATISTICAL METHODS;

COMPUTER SIMULATION;

EID: 84868197749     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.06.011     Document Type: Conference Paper

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