Essays about: "No-U-Turn Sampler"

Found 2 essays containing the words No-U-Turn Sampler.

  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. An application of Bayesian Hidden Markov Models to explore traffic flow conditions in an urban area

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Lovisa Andersson; [2019]
    Keywords : Bayesian statistics; hidden states; Markov chain; traffic flow modeling; filtering; smoothing; most probable state sequence; MCMC; Hamiltonian Monte Carlo; No-U-Turn sampler;

    Abstract : This study employs Bayesian Hidden Markov Models as method to explore vehicle traffic flow conditions in an urban area in Stockholm, based on sensor data from separate road positions. Inter-arrival times are used as the observed sequences. READ MORE