Cross-entropy method for estimation of posterior expectation in Bayesian VAR models

DOI10.1080/03610926.2017.1288252zbMath1462.62063OpenAlexW2587020981MaRDI QIDQ4605269

Nuša Mikuljan Šljivić

Publication date: 21 February 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1288252

zbMATH Keywords

importance samplingcross-entropymultistep forecastingBayesian vector autoregressive modelindependent normal-Wishart prior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Point estimation (62F10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (1)

New definition of the cross entropy based on the Dempster-Shafer theory and its application in a decision-making process

Cites Work

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• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
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• The cross-entropy method for combinatorial and continuous optimization
• Handbook of Monte Carlo Methods
• Bayesian Inference in Econometric Models Using Monte Carlo Integration
• Marginal Likelihood Estimation with the Cross-Entropy Method
• A New Implementation of k-MLE for Mixture Modeling of Wishart Distributions

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