共查询到20条相似文献,搜索用时 0 毫秒
1.
Kun Ho Kim 《International Journal of Forecasting》2011,27(2):394
In this paper, the revised expectations model (REM) is developed to incorporate economic agents’ price expectation formation effects. With this incorporation, two models, an aggregate one sector model and a disaggregated multi-sector model, are estimated and used in density forecasting of the US real GDP growth rate. The experiment shows that use of the disaggregated version of the model, which incorporates price expectation effects along with modern Bayesian MCMC estimation and prediction techniques, produces more precise density forecasts than those yielded by either an aggregate version or benchmark forecasting models. 相似文献
2.
Computationally efficient methods for Bayesian analysis of seemingly unrelated regression (SUR) models are described and applied that involve the use of a direct Monte Carlo (DMC) approach to calculate Bayesian estimation and prediction results using diffuse or informative priors. This DMC approach is employed to compute Bayesian marginal posterior densities, moments, intervals and other quantities, using data simulated from known models and also using data from an empirical example involving firms’ sales. The results obtained by the DMC approach are compared to those yielded by the use of a Markov Chain Monte Carlo (MCMC) approach. It is concluded from these comparisons that the DMC approach is worthwhile and applicable to many SUR and other problems. 相似文献
3.
针对传统B櫣hlmann-Straub信用模型不能有效地解决缺失数据信息处理问题,本文利用贝叶斯统计方法,构造了一类新的贝叶斯信用分析模型,引入基于吉布斯抽样的马尔科夫链蒙特卡洛方法进行数值计算,建立了一个索赔后验分层正态模型进行实证分析,证明模型的有效性。研究结果表明,基于MCMC的贝叶斯信用模型能够动态模拟模型参数的后验分布,提高模型估计的精度,对保险公司经验费率厘定方法的改进具有重要的现实意义。 相似文献
4.
Hyperparameter estimation in dynamic linear models leads to inference that is not available analytically. Recently, the most common approach is through MCMC approximations. A number of sampling schemes that have been proposed in the literature are compared. They basically differ in their blocking structure. In this paper, comparison between the most common schemes is performed in terms of different efficiency criteria, including efficiency ratio and processing time. A sample of time series was simulated to reflect different relevant features such as series length and system volatility. 相似文献
5.
Adrian Smith joined The Alan Turing Institute as Institute Director and Chief Executive in September 2018. In May 2020, he was confirmed as President Elect of the Royal Society. He is also a member of the government's AI Council, which helps boost AI growth in the UK and promote its adoption and ethical use in businesses and organisations across the country. Professor Smith's previous role was Vice-Chancellor of the University of London where he was in post from 2012. He is a past President of the Royal Statistical Society and was elected a Fellow of the Royal Society in 2001 in recognition of his contribution to statistics. In 2003-04 Professor Smith undertook an inquiry into Post-14 Mathematics Education for the UK Secretary of State for Education and Skills and in 2017, on behalf of Her Majesty's Treasury and the Department for Education, published a 16-18 Maths Review. In 2006 he completed a report for the UK Home Secretary on the issue of public trust in Crime Statistics. He received a knighthood in the 2011 New Year Honours list. The following conversation took place at the Alan Turing Institute in London, on July 19 2019. 相似文献
6.
This paper discusses some simple practical advantages of Markov chain Monte Carlo (MCMC) methods in estimating entry and exit transition probabilities from repeated independent surveys. Simulated data are used to illustrate the usefulness of MCMC methods when the likelihood function has multiple local maxima. Actual data on the evaluation of an HIV prevention intervention program among drug users are used to demonstrate the advantage of using prior information to enhance parameter identificaiton. The latter example also demonstrates an important strength of the MCMC approach, namely the ability to make inferences on arbitrary functions of model parameters. 相似文献
7.
本文采用能够同时捕捉区制转换性变化和累积性变化的包含随机波动的时变参数结构向量自回归模型实证考察了1995~2009年间我国政府支出冲击效应的动态变化。结果表明虽然财政支出冲击的传导机制出现了局部的趋势性变化,但是对冲击效应的影响并不显著;冲击效应的大小主要取决于冲击本身的波动性。冲击的波动越大,冲击效应水平越高。这也使得冲击效应的动态变化在样本期间上表现出明显的区制转换性特征。 相似文献
8.
Manfred M. Fischer Niko Hauzenberger Florian Huber Michael Pfarrhofer 《Journal of Applied Econometrics》2023,38(1):69-87
US yield curve dynamics are subject to time-variation, but there is ambiguity about its precise form. This paper develops a vector autoregressive (VAR) model with time-varying parameters and stochastic volatility, which treats the nature of parameter dynamics as unknown. Coefficients can evolve according to a random walk, a Markov switching process, observed predictors, or depend on a mixture of these. To decide which form is supported by the data and to carry out model selection, we adopt Bayesian shrinkage priors. Our framework is applied to model the US yield curve. We show that the model forecasts well, and focus on selected in-sample features to analyze determinants of structural breaks in US yield curve dynamics. 相似文献
9.
This study provides daily conditional value-at-risk (C-VaR) forecasts for a foreign currency portfolio comprising the USD/EUR, USD/JPY, and USD/BRL currencies. To do so, we estimate multivariate stochastic volatility models with time-varying conditional correlations using a Bayesian Markov chain Monte Carlo algorithm. Then, given the model-specific currency return density forecasts, we make the optimal portfolio choice by minimizing the C-VaR through numerical optimization. According to out-of-sample experiment, including emerging markets into the currency basket is essential for downside risk management, and considering model uncertainty as well as the parameter uncertainty can improve the portfolio performance. 相似文献
10.
In this paper, we approach the problem of shape constrained regression from a Bayesian perspective. A B‐splines basis is used to model the regression function. The smoothness of the regression function is controlled by the order of the B‐splines, and the shape is controlled by the shape of an associated control polygon. Controlling the shape of the control polygon reduces to some inequality constraints on the spline coefficients. Our approach enables us to take into account combinations of shape constraints and to localize each shape constraint on a given interval. The performance of our method is investigated through a simulation study. Applications to a real data sets in food industry and Global Warming are provided. 相似文献
11.
Junfeng Shang Joseph E. Cavanaugh Farroll T. Wright 《Revue internationale de statistique》2008,76(2):268-284
A Bayesian hierarchical mixed model is developed for multiple comparisons under a simple order restriction. The model facilitates inferences on the successive differences of the population means, for which we choose independent prior distributions that are mixtures of an exponential distribution and a discrete distribution with its entire mass at zero. We employ Markov Chain Monte Carlo (MCMC) techniques to obtain parameter estimates and estimates of the posterior probabilities that any two of the means are equal. The latter estimates allow one both to determine if any two means are significantly different and to test the homogeneity of all of the means. We investigate the performance of the model-based inferences with simulated data sets, focusing on parameter estimation and successive-mean comparisons using posterior probabilities. We then illustrate the utility of the model in an application based on data from a study designed to reduce lead blood concentrations in children with elevated levels. Our results show that the proposed hierarchical model can effectively unify parameter estimation, tests of hypotheses and multiple comparisons in one setting. 相似文献
12.
Nicole A. Lazar Joseph B. Kadane Fang Chen William G. Cavanagh Clifford D. Litton 《Revue internationale de statistique》2004,72(2):239-255
Before the development of the true dome, many ancient cultures used the technique of corbelling to roof spaces. Recently, a series of related statistical models have been proposed in the literature for explaining how corbelled domes might have been constructed. The most sophisticated of these models is based on a piecewise linear structure, with an unknown number of changepoints, to guide the building process. This model is analyzed by the reversible jump Markov Chain Monte Carlo (MCMC) technique. All models considered to date have been two-dimensional, that is, they have taken a single cross section through the dome; even when more extensive data, in the form of measurements on multiple slices through the dome, have been available, these have been averaged together for the purposes of analysis. In this paper, we extend the two-dimensional analysis to a three-dimensional analysis, that takes full advantage of the data collected by the archaeologists and of the rotational symmetries inherent in the structure.We also explore ways of graphically presenting the results from a complex, reversible jump MCMC implementation, in order to check convergence, good mixing, and appropriate exploration of the (high dimensional and varying dimension) parameter space. The model and the graphical techniques are demonstrated on the Treasury of Atreus in Mycenae, Greece, one of the finest extant examples of the corbelling method. 相似文献
13.
未决赔款准备金的谨慎提取对保险公司的稳健经营具有非常重要的意义。本文从分层贝叶斯分析和BMOM方法入手研究最大熵先验分布问题,给出了保险公司未决赔款准备金的稳健贝叶斯估计,然后通过一具体实例说明本文方法的有效性,最后将未决赔款准备金的稳健贝叶斯估计同经典估计进行了比较。 相似文献
14.
Gunter Maris 《Statistica Neerlandica》2005,59(1):70-81
We show that for the purpose of testing a classical null hypothesis the posterior predictive check of Rubin (1984) may be inadequate. This inadequacy is caused by the estimation of the nuisance parameters under the null hypothesis. We show that this problem can be solved if the parameters are estimated under the encompassing model. 相似文献
15.
Most genetic studies recruit high‐risk families, and the discoveries are based on non‐random selected groups. We must consider the consequences of this ascertainment process to apply the results of genetic research to the general population. In addition, in epidemiological studies, binary responses are often misclassified. We proposed a binary logistic regression model that provides a novel and flexible way to correct for misclassification in binary responses, taking into account the ascertainment issues. A hierarchical Bayesian analysis using Markov chain Monte Carlo method has been carried out to investigate the effect of covariates on disease status. The focus of this paper is to study the effect of classification errors and non‐random ascertainment on the estimates of the model parameters. An extensive simulation study indicated that the proposed model results in substantial improvement of the estimates. Two data sets have been revisited to illustrate the methodology. 相似文献
16.
本文讨论了一种以MCS-5l系列单片机为基础的仿真器的设计制作及应用。本仿真器采用广为应用的89C52单片机为核心,可以运行著名的Keil Monitor—51监控程序。通过PC机运行KeilμVision 2集成开发调试环境软件,本仿真器可以进行单片机硬件调试以及C语言(Keil C51)和汇编语言软件的开发与调试。系统设计合理,成本低廉,制作方便,应用广泛。 相似文献
17.
Bonne J. H. Zijlstra Marijtje A. J. van Duijn Tom A. B. Snijders 《Statistica Neerlandica》2005,59(1):107-118
With the development of an MCMC algorithm, Bayesian model selection for the p 2 model for directed graphs has become possible. This paper presents an empirical exploration in using approximate Bayes factors for model selection. For a social network of Dutch secondary school pupils from different ethnic backgrounds it is investigated whether pupils report that they receive more emotional support from within their own ethnic group. Approximated Bayes factors seem to work, but considerable margins of error have to be reckoned with. 相似文献
18.
Jordi van der Maas 《Statistica Neerlandica》2014,68(3):149-182
This paper presents a Bayesian model averaging regression framework for forecasting US inflation, in which the set of predictors included in the model is automatically selected from a large pool of potential predictors and the set of regressors is allowed to change over time. Using real‐time data on the 1960–2011 period, this model is applied to forecast personal consumption expenditures and gross domestic product deflator inflation. The results of this forecasting exercise show that, although it is not able to beat a simple random‐walk model in terms of point forecasts, it does produce superior density forecasts compared with a range of alternative forecasting models. Moreover, a sensitivity analysis shows that the forecasting results are relatively insensitive to prior choices and the forecasting performance is not affected by the inclusion of a very large set of potential predictors. 相似文献
19.
Traditional econometric models of economic contractions typically perform poorly in forecasting exercises. This criticism is also frequently levelled at professional forecast probabilities of contractions. This paper addresses the problem of incorporating the entire distribution of professional forecasts into an econometric model for forecasting contractions and expansions. A new augmented probit approach is proposed, involving the transformation of the distribution of professional forecasts into a ‘professional forecast’ prior for the economic data underlying the probit model. Since the object of interest is the relationship between the distribution of professional forecasts and the probit model’s economic-data dependent parameters, the solution avoids criticisms levelled at the accuracy of professional forecast based point estimates of contractions. An application to US real GDP data shows that the model yields significant forecast improvements relative to alternative approaches. 相似文献
20.
The purpose of this paper is to examine the role of multilateral adjustment to U.S. external imbalances in driving bilateral real exchange rate movements by developing a new regime-switching model that consists of a Markov-switching model with a time-varying transition matrix that depends on a threshold variable. Consequently, the dynamics of the real exchange rate can be modeled in the context of two regimes: one in which multilateral adjustment to large U.S. external imbalances is an important factor driving movements in the real exchange rate and the second in which the real exchange rate is driven mainly by country-specific macroeconomic fundamentals. We apply this model to the bilateral real Canada–U.S. dollar exchange rate and compare its performance to several other alternative models. All of the models are estimated using a Bayesian approach. Our findings suggest that during periods of large U.S. imbalances, an exchange rate model for the real Canada–U.S. dollar exchange rate should allow for multilateral adjustment effects. 相似文献