SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration

DOI10.1007/BF00426760zbMath0753.65104MaRDI QIDQ4017563

J. P. Hop, Hermann K. Van Dijk

Publication date: 16 January 1993

Published in: Computer Science in Economics and Management (Search for Journal in Brave)

zbMATH Keywords

Bayesian analysisimportance samplingquadratureposterior momentsinformation setposterior density functionFortran computer programsMonte Carlo integration methodsmultivariate normal importance functionmultivariate Student \(t\) importance function

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Probabilistic methods, stochastic differential equations (65C99)

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Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods ⋮ Classical and Bayesian aspects of robust unit root inference ⋮ SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration ⋮ A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood ⋮ The robustness of simulation-based Markovian transition probabilities for ultra-small samples of non-performing credit ⋮ Some remarks on the simulation revolution in bayesian econometric inference ⋮ Bayes estimates of muIti-criteria decision alternatives using Monte Carlo integration

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