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11-004/4 - A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation


  • Authors
    Lennart Hoogerheide, Erasmus University Rotterdam; Anne Opschoor, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam
  • Publication date
    January 6, 2011
  • Keywords
    mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihoods, mixture GARCH models, Value at Risk
  • JEL
    C11, C15, C22, C36