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