Essays about: "MCMC"

Showing result 21 - 25 of 33 essays containing the word MCMC.

1. 21. A Bayesian Finite Mixture Model for Network-Telecommunication Data

   University essay from Stockholms universitet/Statistiska institutionen

   Author : Vasileios Manikas; [2016]
   Keywords : Mixture Model; Bayesian Inference; Markov Chain Monte Carlo; Gibbs Sampling; Network-Telecommunication Lab Data;

   Abstract : A data modeling procedure called Mixture model, is introduced beneficial to the characteristics of our data. Mixture models have been proved flexible and easy to use, a situation which can be confirmed from the majority of papers and books which have been published the last twenty years. READ MORE

3. 22. A Simulation Study comparing MCMC, QML and GMM Estimation of the Stochastic Volatility Model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Carl Nilsson; [2016]
   Keywords : Monte Carlo simulation; stochastic volatility; Markov chain Monte Carlo; quasi-maximum likelihood; generalized method of moments; Business and Economics;

   Abstract : The stochastic volatility (SV) model is an alternative to GARCH models to model time varying volatility. In this thesis the basic stochastic volatility model and three different estimation methods are described---namely, Bayesian Markov chain Monte Carlo (MCMC) methods, quasi maximum-likelihood (QML) and generalized method of moments (GMM). READ MORE

4. 23. Construction of the Berkeley Innovation Index: A Higher-Order Item Response Theory Model Approach

   University essay from Lunds universitet/Matematisk statistik

   Author : Johan Eng Larsson; Alexander Fred-Ojala; [2016]
   Keywords : Index Construction; Innovation Capability; Item Response Theory; Higher-Order Latent Trait Estimation; Bayesian Inference; Markov Chain Monte Carlo; Feature Selection; Mathematics and Statistics;

   Abstract : The Berkeley Innovation Index (BII) is a tool developed for assessment of individual innovation capability. The index is based on responses to a survey that constitutes of questions linked to domain abilities, i.e., sub-traits, that are hypothesized to govern an individual's overall innovation ability. READ MORE

5. 24. Imputation of Missing Data with Application to Commodity Futures

   University essay from KTH/Matematisk statistik

   Author : Simon Östlund; [2016]
   Keywords : Missing Data; Bayesian Statistics; Expectation Conditional Maximization ECM ; Conditional Distribution; Robust Regression; MCMC; Copulas.; Saknad Data; Bayesiansk Statistik; Expectation Conditional Maximization ECM ; Betingad Sannolikhet; Robust Regression; MCMC; Copulas.;

   Abstract : In recent years additional requirements have been imposed on financial institutions, including Central Counterparty clearing houses (CCPs), as an attempt to assess quantitative measures of their exposure to different types of risk. One of these requirements results in a need to perform stress tests to check the resilience in case of a stressed market/crisis. READ MORE

6. 25. Extreme value theory with Markov chain Monte Carlo - an automated process for EVT in finance

   University essay from KTH/Matematisk statistik

   Author : Philip Bramstång; Richard Hermanson; [2015]
   Keywords : ;

   Abstract : The purpose of this thesis was to create an automated procedure for estimating financial risk using extreme value theory (EVT). The "peaks over threshold" (POT) result from EVT was chosen for modelling the tails of the distribution of financial returns. READ MORE