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12-026/4 - A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation


  • Authors
    Lennart Hoogerheide, VU University Amsterdam; Anne Opschoor, Erasmus University Rotterdam; Herman K. van Dijk, Erasmus University Rotterdam, and VU University Amsterdam
  • Publication date
    March 23, 2012
  • Keywords
    mixture of Student-t distributions, importance sampling, Kullback-Leibler divergence, Expectation Maximization, Metropolis-Hastings algorithm, predictive likelihood, DCC GARCH, mixture GARCH, instrumental variables
  • JEL
    C11, C22, C26