Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models
نویسندگان
چکیده
منابع مشابه
Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Hamiltonian Monte Carlo (HMC) is a recent statistical procedure to sample from complex distributions. Distant proposal draws are taken in a sequence of steps following the Hamiltonian dynamics of the underlying parameter space, often yielding superior mixing properties of the resulting Markov chain. However, its performance can deteriorate sharply with the degree of irregularity of the underlyi...
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مدلهای گارچ در فضاهای هیلبرت پایان نامه حاضر شامل دو بخش می باشد. در قسمت اول مدلهای اتورگرسیو تعمیم یافته مشروط به ناهمگنی واریانس در فضاهای هیلبرت را معرفی، مفاهیم ریاضی مورد نیاز در تحلیل این مدلها در دامنه زمان را مطرح کرده و آنها را مورد بررسی قرار می دهیم. بر اساس پیشرفتهایی که اخیرا در زمینه تئوری داده های تابعی و آماره های عملگری ایجاد شده است، فرآیندهایی که دارای مقادیر در فضاهای ...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics and Econometrics
سال: 2013
ISSN: 1558-3708,1081-1826
DOI: 10.1515/snde-2013-0020