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Efficient computational strategies for doubly intractable problems with applications to Bayesian social networks

Caimo, Alberto ; Mira, Antonietta

In: Statistics and Computing, 2015, vol. 25, no. 1, p. 113-125

Nonparametric Bayesian Image Segmentation

Orbanz, Peter ; Buhmann, Joachim

In: International Journal of Computer Vision, 2008, vol. 77, no. 1-3, p. 25-45

An efficient simulation algorithm for the generalized von Mises distribution of order two

Pfyffer, Samuel ; Gatto, Riccardo

In: Computational Statistics, 2013, vol. 28, no. 1, p. 255-268

Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models

Peters, Gareth W. ; Shevchenko, Pavel V. ; Wüthrich, Mario V.

In: ASTIN Bulletin, 2009, vol. 39, no. 1, p. 1-33

Malaria Mapping Using Transmission Models: Application to Survey Data from Mali

Gemperli, A. ; Vounatsou, P. ; Sogoba, N. ; Smith, T.

In: American Journal of Epidemiology, 2006, vol. 163, no. 3, p. 289-297

A Unifying Model for the Analysis of Phenotypic, Genetic, and Geographic Data

Guillot, Gilles ; Renaud, Sabrina ; Ledevin, Ronan ; Michaux, Johan ; Claude, Julien

In: Systematic Biology, 2012, vol. 61, no. 6, p. 897-911

Bayesian estimation of an extended local scale stochastic volatility model

Deschamps, Philippe J.

In: Journal of Econometrics

A new version of the local scale model of Shephard (1994) is presented. Its features are identically distributed evolution equation disturbances, the incorporation of in-the-mean effects, and the incorporation of variance regressors. A Bayesian posterior simulator and an exact simulation smoother are presented. The model is applied to simulated data and to publicly available exchange rate and...

Comparing smooth transition and Markov switching autoregressive models of US unemployment

Deschamps, Philippe J.

In: Journal of Applied Econometrics

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo methods. The Markov switching model is identified by constraining the first autoregression coefficient to differ across regimes. The transition variable in the LSTAR model is the lagged seasonal difference of the unemployment...

Bayesian estimation of generalized hyperbolic skewed Student GARCH models

Deschamps, Philippe J.

In: Computational Statistics and Data Analysis, 2012, vol. 56, no. 11, p. 3035-3054

Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are identically and independently distributed. The second model, ODLV-GARCH, is formulated in terms of...