a class of adaptive importance sampling weighted em algorithms for

1
TI 2012-026/4 Tinbergen Institute Discussion Paper A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation Lennart Hoogerheide 1,2 Anne Opschoor 2,3 Herman K. van Dijk 1,2,3 1 Faculty of Economics and Business Administration, VU University Amsterdam; 2 Tinbergen Institute; 3 Erasmus School of Economics, Erasmus University Rotterdam.

Upload: others

Post on 12-Sep-2021

5 views

Category:

Documents


0 download

TRANSCRIPT

Page 1: A Class of Adaptive Importance Sampling Weighted EM Algorithms for

TI 2012-026/4 Tinbergen Institute Discussion Paper

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Lennart Hoogerheide1,2

Anne Opschoor2,3

Herman K. van Dijk1,2,3

1 Faculty of Economics and Business Administration, VU University Amsterdam; 2 Tinbergen Institute; 3 Erasmus School of Economics, Erasmus University Rotterdam.