Essays about: "Metropolis Hastings MH"

Found 2 essays containing the words Metropolis Hastings MH.

1. 1. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

   University essay from KTH/Matematisk statistik

   Author : Rasmus Guterstam; Vidar Trojenborg; [2021]
   Keywords : Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

   Abstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE

3. 2. Reconstruction of past European land cover from pollen data: using spatial statistics and Crank-Nicolson Monte Carlo

   University essay from Lunds universitet/Matematisk statistik

   Author : Lovisa Svensson; [2019]
   Keywords : Pollen data; compositional data; Dirichlet distribution; spatio-temporal reconstruction; Kronecker product; Gaussian Markov random field GMRF ; Markov Chain Monte Carlo MCMC ; Metropolis Hastings MH ; Metropolis adjusted Langevin algorithm MALA ; Mathematics and Statistics;

   Abstract : Given a pollen data set from Europe over a time period, the aim is to reconstruct the past land cover by interpolating from the pollen data values to a continuous map. The data is on compositional form with three vegetation categories; coniferous forest, broadleaved forest and open land. READ MORE