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Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Cointegrated Vector Auto Regressions Markov chain Monte Carlo
2010/4/28
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach to sampling Bayesian...
Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Markov Chain Monte Carlo Bayesian inference
2010/11/2
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the
construction ...
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
Chain Monte Carlo Bayesian inference GARCH model Metropolis-Hastings algorithm
2010/10/29
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC)simulations of the GARCH model. The proposal density is constructed adaptive...