Vogl, Markus Chaos measure dynamics in a multifactor model for financial market predictions. (English) Zbl 07793567 Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107760, 22 p. (2024). MSC: 65P20 37N30 65P40 91-10 PDFBibTeX XMLCite \textit{M. Vogl}, Commun. Nonlinear Sci. Numer. Simul. 130, Article ID 107760, 22 p. (2024; Zbl 07793567) Full Text: DOI
Jeong, Minsoo A numerical method to obtain exact confidence intervals for likelihood-based parameter estimators. (English) Zbl 07702197 J. Stat. Plann. Inference 226, 20-29 (2023). MSC: 62-XX 65-XX PDFBibTeX XMLCite \textit{M. Jeong}, J. Stat. Plann. Inference 226, 20--29 (2023; Zbl 07702197) Full Text: DOI
Engel, Michael; Kanjilal, Oindrila; Papaioannou, Iason; Straub, Daniel Bayesian updating and marginal likelihood estimation by cross entropy based importance sampling. (English) Zbl 07625415 J. Comput. Phys. 473, Article ID 111746, 20 p. (2023). MSC: 65Cxx 62Fxx 34Cxx PDFBibTeX XMLCite \textit{M. Engel} et al., J. Comput. Phys. 473, Article ID 111746, 20 p. (2023; Zbl 07625415) Full Text: DOI
Xing, Hanwen Improving bridge estimators via \(f\)-GAN. (English) Zbl 1496.62024 Stat. Comput. 32, No. 5, Paper No. 72, 28 p. (2022). MSC: 62-08 62F15 65C05 PDFBibTeX XMLCite \textit{H. Xing}, Stat. Comput. 32, No. 5, Paper No. 72, 28 p. (2022; Zbl 1496.62024) Full Text: DOI arXiv
Rotiroti, Frank; Walker, Stephen G. Computing marginal likelihoods via the Fourier integral theorem and pointwise estimation of posterior densities. (English) Zbl 1495.62014 Stat. Comput. 32, No. 5, Paper No. 67, 18 p. (2022). MSC: 62-08 62F15 65C40 PDFBibTeX XMLCite \textit{F. Rotiroti} and \textit{S. G. Walker}, Stat. Comput. 32, No. 5, Paper No. 67, 18 p. (2022; Zbl 1495.62014) Full Text: DOI
Naryongo, Raphael; Ngare, Philip; Waititu, Anthony The log-asset dynamic with Euler-Maruyama scheme under Wishart processes. (English) Zbl 1486.65011 Int. J. Math. Math. Sci. 2021, Article ID 4050722, 15 p. (2021). MSC: 65C30 91G60 91G20 60H10 91G70 PDFBibTeX XMLCite \textit{R. Naryongo} et al., Int. J. Math. Math. Sci. 2021, Article ID 4050722, 15 p. (2021; Zbl 1486.65011) Full Text: DOI
Forsyth, Peter A.; Vetzal, Kenneth R.; Westmacott, Graham Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation. (English) Zbl 1476.65280 ASTIN Bull. 51, No. 3, 905-938 (2021). MSC: 65N06 65N12 35Q93 91G05 PDFBibTeX XMLCite \textit{P. A. Forsyth} et al., ASTIN Bull. 51, No. 3, 905--938 (2021; Zbl 1476.65280) Full Text: DOI arXiv
Davis, Richard A.; do Rêgo Sousa, Thiago; Klüppelberg, Claudia Indirect inference for time series using the empirical characteristic function and control variates. (English) Zbl 1476.62181 J. Time Ser. Anal. 42, No. 5-6, 653-684 (2021). MSC: 62M10 62E20 62G20 65C05 PDFBibTeX XMLCite \textit{R. A. Davis} et al., J. Time Ser. Anal. 42, No. 5--6, 653--684 (2021; Zbl 1476.62181) Full Text: DOI arXiv
González Arenas, Zochil; Jimenez, Juan Carlos; Lozada-Chang, Li-Vang; Santana, Roberto Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes. (English) Zbl 07428968 Math. Comput. Simul. 187, 449-467 (2021). MSC: 65-XX 91-XX PDFBibTeX XMLCite \textit{Z. González Arenas} et al., Math. Comput. Simul. 187, 449--467 (2021; Zbl 07428968) Full Text: DOI arXiv
Yapeng, Sun; Hui, Peng; Wenbiao, Xie A fast and efficient Markov chain Monte Carlo method for market microstructure model. (English) Zbl 1486.62249 Discrete Dyn. Nat. Soc. 2021, Article ID 5523468, 24 p. (2021). MSC: 62M10 62P05 65C05 PDFBibTeX XMLCite \textit{S. Yapeng} et al., Discrete Dyn. Nat. Soc. 2021, Article ID 5523468, 24 p. (2021; Zbl 1486.62249) Full Text: DOI
Liu, Xi; Hu, Xueping; Yu, Keming A discrete density approach to Bayesian quantile and expectile regression with discrete responses. (English) Zbl 1477.62095 J. Stat. Theory Pract. 15, No. 3, Paper No. 73, 19 p. (2021). MSC: 62G08 62P10 65C05 PDFBibTeX XMLCite \textit{X. Liu} et al., J. Stat. Theory Pract. 15, No. 3, Paper No. 73, 19 p. (2021; Zbl 1477.62095) Full Text: DOI
Mota, Alex L.; Ramos, Pedro L.; Ferreira, Paulo H.; Tomazella, Vera L. D.; Louzada, Francisco A reparameterized weighted Lindley distribution: properties, estimation and applications. (English) Zbl 1470.62035 Rev. Colomb. Estad. 44, No. 1, 65-90 (2021). MSC: 62E15 62N01 62N05 65C05 62P30 PDFBibTeX XMLCite \textit{A. L. Mota} et al., Rev. Colomb. Estad. 44, No. 1, 65--90 (2021; Zbl 1470.62035) Full Text: DOI
Feng, Sanying; Li, Gaorong; Peng, Heng; Tong, Tiejun Varying-coefficient panel data model with interactive fixed effects. (English) Zbl 1470.62071 Stat. Sin. 31, No. 2, 935-957 (2021). MSC: 62H15 62D20 65D07 PDFBibTeX XMLCite \textit{S. Feng} et al., Stat. Sin. 31, No. 2, 935--957 (2021; Zbl 1470.62071) Full Text: arXiv
Gong, Chen; Stoffer, David S. A note on efficient fitting of stochastic volatility models. (English) Zbl 1468.62337 J. Time Ser. Anal. 42, No. 2, 186-200 (2021). MSC: 62M10 62L20 62-08 65C05 PDFBibTeX XMLCite \textit{C. Gong} and \textit{D. S. Stoffer}, J. Time Ser. Anal. 42, No. 2, 186--200 (2021; Zbl 1468.62337) Full Text: DOI
Otto, Sven Unit root testing with slowly varying trends. (English) Zbl 1468.62344 J. Time Ser. Anal. 42, No. 1, 85-106 (2021). MSC: 62M10 62M07 65C05 PDFBibTeX XMLCite \textit{S. Otto}, J. Time Ser. Anal. 42, No. 1, 85--106 (2021; Zbl 1468.62344) Full Text: DOI arXiv
Zhang, Yongli; Rolling, Craig; Yang, Yuhong Estimating and forecasting dynamic correlation matrices: a nonlinear common factor approach. (English) Zbl 1464.62301 J. Multivariate Anal. 183, Article ID 104710, 14 p. (2021). MSC: 62H12 62F12 62M10 62P20 65D07 PDFBibTeX XMLCite \textit{Y. Zhang} et al., J. Multivariate Anal. 183, Article ID 104710, 14 p. (2021; Zbl 1464.62301) Full Text: DOI
Norets, Andriy Optimal auxiliary priors and reversible jump proposals for a class of variable dimension models. (English) Zbl 1462.62395 Econom. Theory 37, No. 1, 49-81 (2021). MSC: 62H30 62G10 65C05 PDFBibTeX XMLCite \textit{A. Norets}, Econom. Theory 37, No. 1, 49--81 (2021; Zbl 1462.62395) Full Text: DOI
Livingston, Glen jun.; Nur, Darfiana Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models. (English) Zbl 1461.62156 Stat. Pap. 61, No. 6, 2449-2482 (2020). MSC: 62M10 62-08 65C40 PDFBibTeX XMLCite \textit{G. Livingston jun.} and \textit{D. Nur}, Stat. Pap. 61, No. 6, 2449--2482 (2020; Zbl 1461.62156) Full Text: DOI
Zhang, Lingxiang Linearity tests and stochastic trend under the STAR framework. (English) Zbl 1467.62124 Stat. Pap. 61, No. 6, 2271-2282 (2020). MSC: 62J05 62G10 62M10 65C05 91B84 PDFBibTeX XMLCite \textit{L. Zhang}, Stat. Pap. 61, No. 6, 2271--2282 (2020; Zbl 1467.62124) Full Text: DOI
Boyarchenko, Svetlana; Levendorskiĭ, Sergei Conformal accelerations method and efficient evaluation of stable distributions. (English) Zbl 1459.35374 Acta Appl. Math. 169, 711-765 (2020). MSC: 35R11 33F05 42A38 60G52 65D30 65M70 PDFBibTeX XMLCite \textit{S. Boyarchenko} and \textit{S. Levendorskiĭ}, Acta Appl. Math. 169, 711--765 (2020; Zbl 1459.35374) Full Text: DOI arXiv
Agiwal, Varun; Kumar, Jitendra Bayesian estimation for threshold autoregressive model with multiple structural breaks. (English) Zbl 1458.62192 Metron 78, No. 3, 361-382 (2020). MSC: 62M10 37M10 62G10 65C05 86A08 62P35 62P12 PDFBibTeX XMLCite \textit{V. Agiwal} and \textit{J. Kumar}, Metron 78, No. 3, 361--382 (2020; Zbl 1458.62192) Full Text: DOI
Shirinkam, Sara; Alaeddini, Adel; Gross, Elizabeth Identifying the number of components in Gaussian mixture models using numerical algebraic geometry. (English) Zbl 1453.62553 J. Algebra Appl. 19, No. 11, Article ID 2050204, 21 p. (2020). MSC: 62H30 62R07 62B10 65H14 PDFBibTeX XMLCite \textit{S. Shirinkam} et al., J. Algebra Appl. 19, No. 11, Article ID 2050204, 21 p. (2020; Zbl 1453.62553) Full Text: DOI
Lopez Gomez, Daniel; Parmeter, Christopher F. Smooth coefficient estimation of stochastic frontier models. (English) Zbl 1452.62207 Econ. Lett. 193, Article ID 109340, 4 p. (2020). MSC: 62F10 65C05 PDFBibTeX XMLCite \textit{D. Lopez Gomez} and \textit{C. F. Parmeter}, Econ. Lett. 193, Article ID 109340, 4 p. (2020; Zbl 1452.62207) Full Text: DOI
Ding, Dong; Gandy, Axel; Hahn, Georg A simple method for implementing Monte Carlo tests. (English) Zbl 1505.62123 Comput. Stat. 35, No. 3, 1373-1392 (2020). MSC: 62-08 65C05 62L10 PDFBibTeX XMLCite \textit{D. Ding} et al., Comput. Stat. 35, No. 3, 1373--1392 (2020; Zbl 1505.62123) Full Text: DOI arXiv
Lin, Jiahe; Michailidis, George Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models. (English) Zbl 1510.62366 J. Mach. Learn. Res. 21, Paper No. 117, 51 p. (2020). MSC: 62M10 62H12 62P05 68W40 65K05 90C26 PDFBibTeX XMLCite \textit{J. Lin} and \textit{G. Michailidis}, J. Mach. Learn. Res. 21, Paper No. 117, 51 p. (2020; Zbl 1510.62366) Full Text: arXiv Link
Hahn, Georg On the expected runtime of multiple testing algorithms with bounded error. (English) Zbl 1450.62055 Stat. Probab. Lett. 165, Article ID 108844, 4 p. (2020). MSC: 62H15 62J15 65C05 PDFBibTeX XMLCite \textit{G. Hahn}, Stat. Probab. Lett. 165, Article ID 108844, 4 p. (2020; Zbl 1450.62055) Full Text: DOI arXiv
Bücher, Axel; Dette, Holger; Heinrichs, Florian Detecting deviations from second-order stationarity in locally stationary functional time series. (English) Zbl 1512.62077 Ann. Inst. Stat. Math. 72, No. 4, 1055-1094 (2020). MSC: 62M10 62R10 62H15 65C05 62P12 PDFBibTeX XMLCite \textit{A. Bücher} et al., Ann. Inst. Stat. Math. 72, No. 4, 1055--1094 (2020; Zbl 1512.62077) Full Text: DOI arXiv
Michel, Jon The limiting distribution of a non-stationary integer valued GARCH\((1,1)\) process. (English) Zbl 1455.62180 J. Time Ser. Anal. 41, No. 2, 351-356 (2020). Reviewer: Ludwig Paditz (Dresden) MSC: 62M10 62E20 60H15 65C30 91B84 37M10 PDFBibTeX XMLCite \textit{J. Michel}, J. Time Ser. Anal. 41, No. 2, 351--356 (2020; Zbl 1455.62180) Full Text: DOI
Bognanni, Mark; Zito, John Sequential Bayesian inference for vector autoregressions with stochastic volatility. (English) Zbl 1514.62047 J. Econ. Dyn. Control 113, Article ID 103851, 35 p. (2020). MSC: 62F15 65C05 62M10 65C40 PDFBibTeX XMLCite \textit{M. Bognanni} and \textit{J. Zito}, J. Econ. Dyn. Control 113, Article ID 103851, 35 p. (2020; Zbl 1514.62047) Full Text: DOI DOI
Bedouhene, Kahina; Zougab, Nabil A Bayesian procedure for bandwidth selection in circular kernel density estimation. (English) Zbl 1436.62117 Monte Carlo Methods Appl. 26, No. 1, 69-82 (2020). MSC: 62G07 65C05 62C10 PDFBibTeX XMLCite \textit{K. Bedouhene} and \textit{N. Zougab}, Monte Carlo Methods Appl. 26, No. 1, 69--82 (2020; Zbl 1436.62117) Full Text: DOI
Hahn, Georg Optimal allocation of Monte Carlo simulations to multiple hypothesis tests. (English) Zbl 1436.62360 Stat. Comput. 30, No. 3, 571-586 (2020). MSC: 62J15 65C05 PDFBibTeX XMLCite \textit{G. Hahn}, Stat. Comput. 30, No. 3, 571--586 (2020; Zbl 1436.62360) Full Text: DOI arXiv
León-González, Roberto Efficient Bayesian inference in generalized inverse gamma processes for stochastic volatility. (English) Zbl 1490.62322 Econom. Rev. 38, No. 8, 899-920 (2019). MSC: 62P05 62F15 62M10 65C05 65C40 PDFBibTeX XMLCite \textit{R. León-González}, Econom. Rev. 38, No. 8, 899--920 (2019; Zbl 1490.62322) Full Text: DOI Link
Kumar, Jitendra; Agiwal, Varun Panel data unit root test with structural break: a Bayesian approach. (English) Zbl 1488.62131 Hacet. J. Math. Stat. 48, No. 4, 1213-1231 (2019). MSC: 62M07 62M10 62F15 65C05 PDFBibTeX XMLCite \textit{J. Kumar} and \textit{V. Agiwal}, Hacet. J. Math. Stat. 48, No. 4, 1213--1231 (2019; Zbl 1488.62131) Full Text: Link
Škrabić Perić, Blanka Do the most frequently used dynamic panel data estimators have the best performance in a small sample? A Monte Carlo comparison. (English) Zbl 1464.62211 Croat. Oper. Res. Rev. (CRORR) 10, No. 1, 45-54 (2019). MSC: 62D20 62H12 65C05 PDFBibTeX XMLCite \textit{B. Škrabić Perić}, Croat. Oper. Res. Rev. (CRORR) 10, No. 1, 45--54 (2019; Zbl 1464.62211) Full Text: DOI
Thaler, Stephan; Paehler, Ludger; Adams, Nikolaus A. Sparse identification of truncation errors. (English) Zbl 1453.65281 J. Comput. Phys. 397, Article ID 108851, 21 p. (2019). MSC: 65M15 65M06 65M50 62G08 65K10 PDFBibTeX XMLCite \textit{S. Thaler} et al., J. Comput. Phys. 397, Article ID 108851, 21 p. (2019; Zbl 1453.65281) Full Text: DOI arXiv
Kumar, Jitendra; Agiwal, Varun Bayesian estimation for fully shifted panel AR(1) time series model. (English) Zbl 1463.62071 Thai J. Math., Spec. Iss.: Structural change modeling and optimization in econometrics 2018, 167-183 (2019). MSC: 62F15 62M10 37M10 65C05 62D20 PDFBibTeX XMLCite \textit{J. Kumar} and \textit{V. Agiwal}, Thai J. Math., 167--183 (2019; Zbl 1463.62071) Full Text: Link
Nugroho, Didit Budi; Morimoto, Takayuki Incorporating realized quarticity into a realized stochastic volatility model. (English) Zbl 1425.91429 Asia-Pac. Financ. Mark. 26, No. 4, 495-528 (2019). MSC: 91G60 65C05 65C40 PDFBibTeX XMLCite \textit{D. B. Nugroho} and \textit{T. Morimoto}, Asia-Pac. Financ. Mark. 26, No. 4, 495--528 (2019; Zbl 1425.91429) Full Text: DOI
Cheng, Jing; Chan, Ngai Hang Efficient inference for nonlinear state space models: an automatic sample size selection rule. (English) Zbl 1507.62027 Comput. Stat. Data Anal. 138, 143-154 (2019). MSC: 62-08 62M20 62M10 65C05 PDFBibTeX XMLCite \textit{J. Cheng} and \textit{N. H. Chan}, Comput. Stat. Data Anal. 138, 143--154 (2019; Zbl 1507.62027) Full Text: DOI
Herbst, Edward; Schorfheide, Frank Tempered particle filtering. (English) Zbl 1452.62069 J. Econom. 210, No. 1, 26-44 (2019). MSC: 62-08 62F15 62M20 65C05 91B51 PDFBibTeX XMLCite \textit{E. Herbst} and \textit{F. Schorfheide}, J. Econom. 210, No. 1, 26--44 (2019; Zbl 1452.62069) Full Text: DOI Link
Geweke, John; Durham, Garland Sequentially adaptive Bayesian learning algorithms for inference and optimization. (English) Zbl 1452.62062 J. Econom. 210, No. 1, 4-25 (2019). MSC: 62-08 62F15 65C05 65Y05 90C59 PDFBibTeX XMLCite \textit{J. Geweke} and \textit{G. Durham}, J. Econom. 210, No. 1, 4--25 (2019; Zbl 1452.62062) Full Text: DOI
Xu, Yaxian; Jasra, Ajay A method for high-dimensional smoothing. (English) Zbl 1415.62070 J. Korean Stat. Soc. 48, No. 1, 50-67 (2019). MSC: 62M20 62M10 65C05 65C40 PDFBibTeX XMLCite \textit{Y. Xu} and \textit{A. Jasra}, J. Korean Stat. Soc. 48, No. 1, 50--67 (2019; Zbl 1415.62070) Full Text: DOI
Di Caterina, Claudia; Cortese, Giuliana; Sartori, Nicola Monte Carlo modified profile likelihood in models for clustered data. (English) Zbl 1462.62381 Electron. J. Stat. 13, No. 1, 432-464 (2019). MSC: 62H30 62N01 62D10 62G20 62P10 65C05 PDFBibTeX XMLCite \textit{C. Di Caterina} et al., Electron. J. Stat. 13, No. 1, 432--464 (2019; Zbl 1462.62381) Full Text: DOI arXiv Euclid
Fallah, Somayeh; Mehrdoust, Farshid On the existence and uniqueness of the solution to the double Heston model equation and valuing lookback option. (English) Zbl 1419.91613 J. Comput. Appl. Math. 350, 412-422 (2019). MSC: 91G20 91B70 60H10 91G60 65M06 PDFBibTeX XMLCite \textit{S. Fallah} and \textit{F. Mehrdoust}, J. Comput. Appl. Math. 350, 412--422 (2019; Zbl 1419.91613) Full Text: DOI
Wu, Sheng-Jhih; Ghosh, Sujit K.; Ku, Yu-Cheng; Bloomfield, Peter Dynamic correlation multivariate stochastic volatility with latent factors. (English) Zbl 07778321 Stat. Neerl. 72, No. 1, 48-69 (2018). MSC: 62Pxx 62Fxx 65Cxx PDFBibTeX XMLCite \textit{S.-J. Wu} et al., Stat. Neerl. 72, No. 1, 48--69 (2018; Zbl 07778321) Full Text: DOI
Reich, Gregor Divide and conquer: recursive likelihood function integration for hidden Markov models with continuous latent variables. (English) Zbl 1458.62187 Oper. Res. 66, No. 6, 1457-1470 (2018). MSC: 62M05 62F12 65C40 62P20 PDFBibTeX XMLCite \textit{G. Reich}, Oper. Res. 66, No. 6, 1457--1470 (2018; Zbl 1458.62187) Full Text: DOI Link
Jaworski, Krystian Density forecasts of emerging markets’ exchange rates using Monte Carlo simulation with regime switching. (English) Zbl 1425.91324 Jajuga, Krzysztof (ed.) et al., Contemporary trends and challenges in finance. Proceedings from the 3rd Wroclaw international conference in finance, Wroclaw, Poland, September 13–14, 2017. Cham: Springer. Springer Proc. Bus. Econ., 13-21 (2018). MSC: 91B64 62M20 62P20 65C05 PDFBibTeX XMLCite \textit{K. Jaworski}, in: Contemporary trends and challenges in finance. Proceedings from the 3rd Wroclaw international conference in finance, Wroclaw, Poland, September 13--14, 2017. Cham: Springer. 13--21 (2018; Zbl 1425.91324) Full Text: DOI
Majid, Abdul; Aslam, Muhammad; Altaf, Saima Efficient estimation of distributed lag model in presence of heteroscedasticity of unknown form: a Monte Carlo evidence. (English) Zbl 1426.62203 Cogent Math. Stat. 5, Article ID 1538596, 12 p. (2018). MSC: 62J05 62J07 62P20 65C05 PDFBibTeX XMLCite \textit{A. Majid} et al., Cogent Math. Stat. 5, Article ID 1538596, 12 p. (2018; Zbl 1426.62203) Full Text: DOI
Liu, Yi; Wang, Qihua; Liu, Xiaohui Testing conditional independence via integrating-up transform. (English) Zbl 1411.62041 Statistics 52, No. 4, 734-749 (2018). Reviewer: Denis Sidorov (Irkutsk) MSC: 62E20 60E05 62G10 62H20 62P05 65C60 PDFBibTeX XMLCite \textit{Y. Liu} et al., Statistics 52, No. 4, 734--749 (2018; Zbl 1411.62041) Full Text: DOI
Conlon, Thomas; Cotter, John; Gençay, Ramazan Long-run wavelet-based correlation for financial time series. (English) Zbl 1403.91379 Eur. J. Oper. Res. 271, No. 2, 676-696 (2018). MSC: 91G70 91B84 62M10 65T60 PDFBibTeX XMLCite \textit{T. Conlon} et al., Eur. J. Oper. Res. 271, No. 2, 676--696 (2018; Zbl 1403.91379) Full Text: DOI
Selland Kleppe, Tore Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets. (English) Zbl 1384.65005 Stat. Comput. 28, No. 4, 795-817 (2018). MSC: 65C05 60J22 62F15 PDFBibTeX XMLCite \textit{T. Selland Kleppe}, Stat. Comput. 28, No. 4, 795--817 (2018; Zbl 1384.65005) Full Text: DOI arXiv
Augustyniak, Maciej; Boudreault, Mathieu; Morales, Manuel Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure. (English) Zbl 1392.62260 Methodol. Comput. Appl. Probab. 20, No. 1, 165-188 (2018). MSC: 62M10 62M05 62M20 60J05 65C60 62P20 PDFBibTeX XMLCite \textit{M. Augustyniak} et al., Methodol. Comput. Appl. Probab. 20, No. 1, 165--188 (2018; Zbl 1392.62260) Full Text: DOI
Ament, Sebastian; O’Neil, Michael Accurate and efficient numerical calculation of stable densities via optimized quadrature and asymptotics. (English) Zbl 1384.65024 Stat. Comput. 28, No. 1, 171-185 (2018). MSC: 65D32 60E07 PDFBibTeX XMLCite \textit{S. Ament} and \textit{M. O'Neil}, Stat. Comput. 28, No. 1, 171--185 (2018; Zbl 1384.65024) Full Text: DOI arXiv
Dinh, Vu; Rundell, Ann E.; Buzzard, Gregery T. Convergence of Griddy Gibbs sampling and other perturbed Markov chains. (English) Zbl 07192007 J. Stat. Comput. Simulation 87, No. 7, 1379-1400 (2017). MSC: 60J20 65C40 92B05 32A70 PDFBibTeX XMLCite \textit{V. Dinh} et al., J. Stat. Comput. Simulation 87, No. 7, 1379--1400 (2017; Zbl 07192007) Full Text: DOI arXiv
Ubaru, Shashanka; Saad, Yousef; Seghouane, Abd-Krim Fast estimation of approximate matrix ranks using spectral densities. (English) Zbl 1474.68318 Neural Comput. 29, No. 5, 1317-1351 (2017). MSC: 68T09 65F99 68T05 PDFBibTeX XMLCite \textit{S. Ubaru} et al., Neural Comput. 29, No. 5, 1317--1351 (2017; Zbl 1474.68318) Full Text: DOI arXiv
Marowka, Maciej; Peters, Gareth W.; Kantas, Nikolas; Bagnarosa, Guillaume Some recent developments in Markov chain Monte Carlo for cointegrated time series. (English) Zbl 1384.62291 ESAIM, Proc. Surv. 59, 76-103 (2017). MSC: 62M10 65C05 62F15 62P20 PDFBibTeX XMLCite \textit{M. Marowka} et al., ESAIM, Proc. Surv. 59, 76--103 (2017; Zbl 1384.62291) Full Text: DOI
Šljivić, Nuša Mikuljan Cross-entropy method for estimation of posterior expectation in Bayesian VAR models. (English) Zbl 1462.62063 Commun. Stat., Theory Methods 46, No. 23, 11933-11947 (2017). MSC: 62C10 62F10 62F15 62P20 65C20 PDFBibTeX XMLCite \textit{N. M. Šljivić}, Commun. Stat., Theory Methods 46, No. 23, 11933--11947 (2017; Zbl 1462.62063) Full Text: DOI
Alexander, Blair; Breunig, Robert A Monte Carlo study of bias corrections for panel probit models. (English) Zbl 1510.62470 J. Stat. Comput. Simulation 86, No. 1, 74-90 (2016). MSC: 62P20 62M10 65C05 62F10 PDFBibTeX XMLCite \textit{B. Alexander} and \textit{R. Breunig}, J. Stat. Comput. Simulation 86, No. 1, 74--90 (2016; Zbl 1510.62470) Full Text: DOI Link
Escobar, Marcos; Rudolph, Benedikt; Zagst, Rudi Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions. (English) Zbl 1369.65015 ACM Trans. Math. Softw. 42, No. 4, Article No. 33, 26 p. (2016). MSC: 65C50 65C60 65Y15 PDFBibTeX XMLCite \textit{M. Escobar} et al., ACM Trans. Math. Softw. 42, No. 4, Article No. 33, 26 p. (2016; Zbl 1369.65015) Full Text: DOI
Escobar, Marcos; Krause, Daniel; Zagst, Rudi Stochastic covariance and dimension reduction in the pricing of basket options. (English) Zbl 1349.91305 Rev. Deriv. Res. 19, No. 3, 165-200 (2016). MSC: 91G60 65C60 91G20 PDFBibTeX XMLCite \textit{M. Escobar} et al., Rev. Deriv. Res. 19, No. 3, 165--200 (2016; Zbl 1349.91305) Full Text: DOI
Goodman, Jonathan; Lin, Kevin K.; Morzfeld, Matthias Small-noise analysis and symmetrization of implicit Monte Carlo samplers. (English) Zbl 1352.65031 Commun. Pure Appl. Math. 69, No. 10, 1924-1951 (2016). MSC: 65C60 65C05 65C40 62D05 60J22 PDFBibTeX XMLCite \textit{J. Goodman} et al., Commun. Pure Appl. Math. 69, No. 10, 1924--1951 (2016; Zbl 1352.65031) Full Text: DOI arXiv
Guo, Guangbao; Lin, Lu Parallel bootstrap and optimal subsample lengths in smooth function models. (English) Zbl 1346.60004 Commun. Stat., Simulation Comput. 45, No. 6, 2208-2231 (2016). MSC: 60B20 62D05 60H25 65C10 PDFBibTeX XMLCite \textit{G. Guo} and \textit{L. Lin}, Commun. Stat., Simulation Comput. 45, No. 6, 2208--2231 (2016; Zbl 1346.60004) Full Text: DOI
Waggoner, Daniel F.; Wu, Hongwei; Zha, Tao Striated Metropolis-Hastings sampler for high-dimensional models. (English) Zbl 1420.62125 J. Econom. 192, No. 2, 406-420 (2016). MSC: 62F15 62M10 62P20 65C05 PDFBibTeX XMLCite \textit{D. F. Waggoner} et al., J. Econom. 192, No. 2, 406--420 (2016; Zbl 1420.62125) Full Text: DOI
Kato, Takashi; Sekine, Jun; Yoshikawa, Kenichi Order estimates for the exact Lugannani-Rice expansion. (English) Zbl 1333.62051 Japan J. Ind. Appl. Math. 33, No. 1, 25-61 (2016). MSC: 62E17 91G60 65D15 PDFBibTeX XMLCite \textit{T. Kato} et al., Japan J. Ind. Appl. Math. 33, No. 1, 25--61 (2016; Zbl 1333.62051) Full Text: DOI arXiv
Chan, Joshua C. C.; Eisenstat, Eric Marginal likelihood estimation with the cross-entropy method. (English) Zbl 1491.62193 Econom. Rev. 34, No. 3, 256-285 (2015). MSC: 62P20 62F15 65C05 65C40 62-08 91B84 PDFBibTeX XMLCite \textit{J. C. C. Chan} and \textit{E. Eisenstat}, Econom. Rev. 34, No. 3, 256--285 (2015; Zbl 1491.62193) Full Text: DOI Link
Cappuccio, Nunzio; Lubian, Diego; Mistrorigo, Mirko The power of unit root tests under local-to-finite variance errors. (English) Zbl 1352.62134 Chaos Solitons Fractals 76, 205-217 (2015). MSC: 62M07 62M10 65C05 PDFBibTeX XMLCite \textit{N. Cappuccio} et al., Chaos Solitons Fractals 76, 205--217 (2015; Zbl 1352.62134) Full Text: DOI Link
Bäuerle, Nicole; Gilitschenski, Igor; Hanebeck, Uwe Exact and approximate hidden Markov chain filters based on discrete observations. (English) Zbl 1339.60040 Stat. Risk. Model. 32, No. 3-4, 159-176 (2015). MSC: 60G35 60J27 60J10 60J65 62M20 60J22 65C20 65C40 94A12 PDFBibTeX XMLCite \textit{N. Bäuerle} et al., Stat. Risk. Model. 32, No. 3--4, 159--176 (2015; Zbl 1339.60040) Full Text: DOI arXiv
Sun, Youfa Efficient pricing and hedging under the double Heston stochastic volatility jump-diffusion model. (English) Zbl 1335.91109 Int. J. Comput. Math. 92, No. 12, 2551-2574 (2015). MSC: 91G60 65C30 65T40 60J75 91B70 91G20 PDFBibTeX XMLCite \textit{Y. Sun}, Int. J. Comput. Math. 92, No. 12, 2551--2574 (2015; Zbl 1335.91109) Full Text: DOI
Creal, Drew D.; Tsay, Ruey S. High dimensional dynamic stochastic copula models. (English) Zbl 1337.62115 J. Econom. 189, No. 2, 335-345 (2015). MSC: 62H05 62F15 65C40 62P05 91G40 91G70 PDFBibTeX XMLCite \textit{D. D. Creal} and \textit{R. S. Tsay}, J. Econom. 189, No. 2, 335--345 (2015; Zbl 1337.62115) Full Text: DOI
Chudik, Alexander; Pesaran, M. Hashem Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors. (English) Zbl 1337.62354 J. Econom. 188, No. 2, 393-420 (2015). MSC: 62P20 62M10 62H12 65C05 91B84 PDFBibTeX XMLCite \textit{A. Chudik} and \textit{M. H. Pesaran}, J. Econom. 188, No. 2, 393--420 (2015; Zbl 1337.62354) Full Text: DOI
Hayakawa, Kazuhiko; Pesaran, M. Hashem Robust standard errors in transformed likelihood estimation of dynamic panel data models with cross-sectional heteroskedasticity. (English) Zbl 1337.62265 J. Econom. 188, No. 1, 111-134 (2015). MSC: 62M10 62H12 62F03 65C05 PDFBibTeX XMLCite \textit{K. Hayakawa} and \textit{M. H. Pesaran}, J. Econom. 188, No. 1, 111--134 (2015; Zbl 1337.62265) Full Text: DOI
Bonettini, S.; Chiuso, A.; Prato, M. A scaled gradient projection method for Bayesian learning in dynamical systems. (English) Zbl 1461.65133 SIAM J. Sci. Comput. 37, No. 3, A1297-A1318 (2015). MSC: 65K05 90C30 90C90 93B30 PDFBibTeX XMLCite \textit{S. Bonettini} et al., SIAM J. Sci. Comput. 37, No. 3, A1297--A1318 (2015; Zbl 1461.65133) Full Text: DOI arXiv
Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models. (English) Zbl 1314.91241 Insur. Math. Econ. 61, 206-226 (2015). MSC: 91G60 91B30 65C05 65C40 62P05 PDFBibTeX XMLCite \textit{R. S. Targino} et al., Insur. Math. Econ. 61, 206--226 (2015; Zbl 1314.91241) Full Text: DOI arXiv
Su, Liangjun; Yang, Zhenlin QML estimation of dynamic panel data models with spatial errors. (English) Zbl 1331.62486 J. Econom. 185, No. 1, 230-258 (2015). MSC: 62P20 62H12 62F12 62M30 65C05 PDFBibTeX XMLCite \textit{L. Su} and \textit{Z. Yang}, J. Econom. 185, No. 1, 230--258 (2015; Zbl 1331.62486) Full Text: DOI Link
Xiao, Yuewen; Ku, Yu-Cheng; Bloomfield, Peter; Ghosh, Sujit K. On the degrees of freedom in MCMC-based Wishart models for time series data. (English) Zbl 1321.62090 Stat. Probab. Lett. 98, 59-64 (2015). MSC: 62J10 62M10 65C40 PDFBibTeX XMLCite \textit{Y. Xiao} et al., Stat. Probab. Lett. 98, 59--64 (2015; Zbl 1321.62090) Full Text: DOI
Kobayashi, Genya A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice. (English) Zbl 1506.62097 Comput. Stat. Data Anal. 80, 167-183 (2014). MSC: 62-08 62F15 65C05 65C40 PDFBibTeX XMLCite \textit{G. Kobayashi}, Comput. Stat. Data Anal. 80, 167--183 (2014; Zbl 1506.62097) Full Text: DOI
Kastner, Gregor; Frühwirth-Schnatter, Sylvia Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models. (English) Zbl 1506.62094 Comput. Stat. Data Anal. 76, 408-423 (2014). MSC: 62-08 62P05 62F15 65C05 65C40 PDFBibTeX XMLCite \textit{G. Kastner} and \textit{S. Frühwirth-Schnatter}, Comput. Stat. Data Anal. 76, 408--423 (2014; Zbl 1506.62094) Full Text: DOI arXiv
La Spada, Gabriele; Lillo, Fabrizio The effect of round-off error on long memory processes. (English) Zbl 1329.62382 Stud. Nonlinear Dyn. Econom. 18, No. 4, 445-482 (2014). MSC: 62M10 60G15 62M15 62M09 65G50 PDFBibTeX XMLCite \textit{G. La Spada} and \textit{F. Lillo}, Stud. Nonlinear Dyn. Econom. 18, No. 4, 445--482 (2014; Zbl 1329.62382) Full Text: DOI arXiv
Gnoatto, Alessandro; Grasselli, Martino The explicit Laplace transform for the Wishart process. (English) Zbl 1304.65008 J. Appl. Probab. 51, No. 3, 640-656 (2014). Reviewer: Maria Christina Mariani (El Paso) MSC: 65C30 60H35 91B70 44A10 60H20 PDFBibTeX XMLCite \textit{A. Gnoatto} and \textit{M. Grasselli}, J. Appl. Probab. 51, No. 3, 640--656 (2014; Zbl 1304.65008) Full Text: DOI arXiv Euclid
Yang, Suigen; Xue, Liugen; Li, Gaorong Simultaneous confidence band for single-index random effects models with longitudinal data. (English) Zbl 1285.62026 Stat. Probab. Lett. 85, 6-14 (2014). MSC: 62F12 62F25 65C60 PDFBibTeX XMLCite \textit{S. Yang} et al., Stat. Probab. Lett. 85, 6--14 (2014; Zbl 1285.62026) Full Text: DOI
Lucchetti, Riccardo; Pigini, Claudia A test for bivariate normality with applications in microeconometric models. (English) Zbl 1332.62424 Stat. Methods Appl. 22, No. 4, 535-572 (2013). MSC: 62P20 62F03 62F40 65C60 PDFBibTeX XMLCite \textit{R. Lucchetti} and \textit{C. Pigini}, Stat. Methods Appl. 22, No. 4, 535--572 (2013; Zbl 1332.62424) Full Text: DOI
Peters, Gareth William; Briers, Mark; Shevchenko, Pavel; Doucet, Arnaud Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts. (English) Zbl 1307.91179 Methodol. Comput. Appl. Probab. 15, No. 4, 841-874 (2013). MSC: 91G20 62P05 91G60 60H30 65C30 PDFBibTeX XMLCite \textit{G. W. Peters} et al., Methodol. Comput. Appl. Probab. 15, No. 4, 841--874 (2013; Zbl 1307.91179) Full Text: DOI arXiv
Nordman, Daniel J.; Bunzel, Helle; Lahiri, Soumendra N. A nonstandard empirical likelihood for time series. (English) Zbl 1288.62130 Ann. Stat. 41, No. 6, 3050-3073 (2013). MSC: 62M10 62G15 62E20 62G20 62G05 65C60 PDFBibTeX XMLCite \textit{D. J. Nordman} et al., Ann. Stat. 41, No. 6, 3050--3073 (2013; Zbl 1288.62130) Full Text: DOI arXiv Euclid
Rohan, Neelabh A time varying \(\mathrm{GARCH}(p,q)\) model and related statistical inference. (English) Zbl 1279.62191 Stat. Probab. Lett. 83, No. 9, 1983-1990 (2013). MSC: 62M10 62G10 62G05 62G09 62E20 65C60 PDFBibTeX XMLCite \textit{N. Rohan}, Stat. Probab. Lett. 83, No. 9, 1983--1990 (2013; Zbl 1279.62191) Full Text: DOI
Elder, John; Elliott, Robert J.; Miao, Hong Fractional differencing in discrete time. (English) Zbl 1280.91192 Quant. Finance 13, No. 2, 195-204 (2013). MSC: 91G60 62M10 65C60 91B84 PDFBibTeX XMLCite \textit{J. Elder} et al., Quant. Finance 13, No. 2, 195--204 (2013; Zbl 1280.91192) Full Text: DOI Link
Deb, Partha; Trivedi, Pravin K. Finite mixture for panels with fixed effects. (English) Zbl 1279.62125 J. Econom. Methods 2, No. 1, 35-51 (2013). MSC: 62H30 62P10 65C05 PDFBibTeX XMLCite \textit{P. Deb} and \textit{P. K. Trivedi}, J. Econom. Methods 2, No. 1, 35--51 (2013; Zbl 1279.62125) Full Text: DOI Link
Leucht, Anne; Neumann, Michael H. Dependent wild bootstrap for degenerate \(U\)- and \(V\)-statistics. (English) Zbl 1279.62102 J. Multivariate Anal. 117, 257-280 (2013). MSC: 62G09 62G10 62M10 62G20 65C60 PDFBibTeX XMLCite \textit{A. Leucht} and \textit{M. H. Neumann}, J. Multivariate Anal. 117, 257--280 (2013; Zbl 1279.62102) Full Text: DOI
Ren, Yunwen; Xiao, Zhiguo; Zhang, Xinsheng Two-step adaptive model selection for vector autoregressive processes. (English) Zbl 1277.62219 J. Multivariate Anal. 116, 349-364 (2013). MSC: 62M10 91B84 65C05 PDFBibTeX XMLCite \textit{Y. Ren} et al., J. Multivariate Anal. 116, 349--364 (2013; Zbl 1277.62219) Full Text: DOI
Bravo, Francesco Partially linear varying coefficient models with missing at random responses. (English) Zbl 1273.62081 Ann. Inst. Stat. Math. 65, No. 4, 721-762 (2013). MSC: 62G08 62G10 65C05 PDFBibTeX XMLCite \textit{F. Bravo}, Ann. Inst. Stat. Math. 65, No. 4, 721--762 (2013; Zbl 1273.62081) Full Text: DOI
Heinen, Florian; Michael, Stefanie; Sibbertsen, Philipp Weak identification in the ESTAR model and a new model. (English) Zbl 1273.62204 J. Time Ser. Anal. 34, No. 2, 238-261 (2013). MSC: 62M09 62F03 62M10 65C05 62P20 PDFBibTeX XMLCite \textit{F. Heinen} et al., J. Time Ser. Anal. 34, No. 2, 238--261 (2013; Zbl 1273.62204) Full Text: DOI
Rodrigues, Paulo M. M. Recursive adjustment, unit root tests and structural breaks. (English) Zbl 1274.62615 J. Time Ser. Anal. 34, No. 1, 62-82 (2013). MSC: 62M10 65C40 62M07 PDFBibTeX XMLCite \textit{P. M. M. Rodrigues}, J. Time Ser. Anal. 34, No. 1, 62--82 (2013; Zbl 1274.62615) Full Text: DOI
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators. (English) Zbl 1272.62033 Econom. Theory 29, No. 3, 567-589 (2013). MSC: 62G09 65C05 62F40 PDFBibTeX XMLCite \textit{R. Giacomini} et al., Econom. Theory 29, No. 3, 567--589 (2013; Zbl 1272.62033) Full Text: DOI
Bole, Velimir; Rebec, Peter Bootstrapping the Hausman test in panel data models. (English) Zbl 1347.62053 Commun. Stat., Simulation Comput. 42, No. 3, 650-670 (2013). MSC: 62F40 62F03 62E17 65C05 PDFBibTeX XMLCite \textit{V. Bole} and \textit{P. Rebec}, Commun. Stat., Simulation Comput. 42, No. 3, 650--670 (2013; Zbl 1347.62053) Full Text: DOI
Tang, Rui; Shao, Jun; Zhang, Zhengjun Sparse moving maxima models for tail dependence in multivariate financial time series. (English) Zbl 1259.62083 J. Stat. Plann. Inference 143, No. 5, 882-895 (2013). MSC: 62M10 62G32 62P05 91G70 62H12 65C60 PDFBibTeX XMLCite \textit{R. Tang} et al., J. Stat. Plann. Inference 143, No. 5, 882--895 (2013; Zbl 1259.62083) Full Text: DOI
Cirillo, Pasquale; Muliere, Pietro An urn-based Bayesian block bootstrap. (English) Zbl 1256.62023 Metrika 76, No. 1, 93-106 (2013). MSC: 62G09 62F15 60G09 65C60 PDFBibTeX XMLCite \textit{P. Cirillo} and \textit{P. Muliere}, Metrika 76, No. 1, 93--106 (2013; Zbl 1256.62023) Full Text: DOI Link
Creal, Drew A survey of sequential Monte Carlo methods for economics and finance. (English) Zbl 1491.62008 Econom. Rev. 31, No. 3, 245-296 (2012). MSC: 62-08 65C05 62F15 62M20 62M10 62P20 PDFBibTeX XMLCite \textit{D. Creal}, Econom. Rev. 31, No. 3, 245--296 (2012; Zbl 1491.62008) Full Text: DOI Link
Guo, Guangbao Parallel statistical computing for statistical inference. (English) Zbl 1425.62060 J. Stat. Theory Pract. 6, No. 3, 536-565 (2012). MSC: 62G07 62G09 62J02 62J05 58J65 65C05 PDFBibTeX XMLCite \textit{G. Guo}, J. Stat. Theory Pract. 6, No. 3, 536--565 (2012; Zbl 1425.62060) Full Text: DOI
Koop, Gary; Leon-Gonzalez, Roberto; Strachan, Rodney Bayesian model averaging in the instrumental variable regression model. (English) Zbl 1443.62479 J. Econom. 171, No. 2, 237-250 (2012). MSC: 62P20 62F15 65C05 PDFBibTeX XMLCite \textit{G. Koop} et al., J. Econom. 171, No. 2, 237--250 (2012; Zbl 1443.62479) Full Text: DOI Link Link
Pitt, Michael K.; dos Santos Silva, Ralph; Giordani, Paolo; Kohn, Robert On some properties of Markov chain Monte Carlo simulation methods based on the particle filter. (English) Zbl 1443.62499 J. Econom. 171, No. 2, 134-151 (2012). MSC: 62P20 62F15 62M20 65C05 PDFBibTeX XMLCite \textit{M. K. Pitt} et al., J. Econom. 171, No. 2, 134--151 (2012; Zbl 1443.62499) Full Text: DOI Link
Hoogerheide, Lennart; Opschoor, Anne; van Dijk, Herman K. A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation. (English) Zbl 1443.62465 J. Econom. 171, No. 2, 101-120 (2012). MSC: 62P20 62F15 62M10 65C05 PDFBibTeX XMLCite \textit{L. Hoogerheide} et al., J. Econom. 171, No. 2, 101--120 (2012; Zbl 1443.62465) Full Text: DOI Link Link
McCausland, William J. The HESSIAN method: highly efficient simulation smoothing, in a nutshell. (English) Zbl 1443.62008 J. Econom. 168, No. 2, 189-206 (2012). MSC: 62-08 62M10 62M20 65C40 PDFBibTeX XMLCite \textit{W. J. McCausland}, J. Econom. 168, No. 2, 189--206 (2012; Zbl 1443.62008) Full Text: DOI Link