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Bayesian Inference and the Parametric Bootstrap。
Bayesian inference for nonlinear structural time series models
DSGEmodel Multi-modal Partially adapted particle flter State space
2012/11/21
This article discusses a partially adapted particle filter for estimating the likelihood of a nonlinear structural econometric state space models whose state transition density cannot be expressed in ...
Bayesian Inference of Stochastic Volatility Model by Hybrid Monte Carlo
Hybrid Monte Carlo Algorithm Stochastic Volatility Model Markov Chain Monte Carlo Bayesian Inference Financial Data Analysis
2010/4/27
The hybrid Monte Carlo (HMC) algorithm is applied for the Bayesian inference of the stochastic volatility (SV) model. We use the HMC algorithm for the Markov chain Monte Carlo updates of volatility va...
Bayesian inference for Lancaster probabilities
Dirichlet Process Distributions with given Marginals
2010/9/13
Inference for bivariate distributions with fixed marginals is very important in applications. When a bayesian approach is followed, the problem of defining a (prior) distribution on a class of probabi...