18 search results - page 1 / 4 » An Efficient Estimation for Switching Regression Models: A M... |
CSSC
2010
13 years 2 months ago
2010
This paper investigates an efficient estimation method for a class of switching regressions based on the characteristic function (CF). We show that with the exponential weighting ...
MA
2010
Springer
13 years 3 months ago
2010
Springer
We consider Bayesian analysis of data from multivariate linear regression models whose errors have a distribution that is a scale mixture of normals. Such models are used to analy...
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SIAMSC
2008
13 years 4 months ago
2008
In this paper we introduce efficient Monte Carlo estimators for the valuation of high-dimensional derivatives and their sensitivities ("Greeks"). These estimators are ba...
INFORMATICALT
2011
12 years 11 months ago
2011
It is well known that in situations involving the study of large datasets where influential observations or outliers maybe present, regression models based on the Maximum Likeliho...
NIPS
2008
13 years 6 months ago
2008
Sampling functions in Gaussian process (GP) models is challenging because of the highly correlated posterior distribution. We describe an efficient Markov chain Monte Carlo algori...