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12-096/III - The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

  • Authors
    Nalan Basturk, Erasmus University Rotterdam; Lennart Hoogerheide, VU University Amsterdam; Anne Opschoor, Erasmus University Rotterdam; Herman K. van Dijk, EUR & VU
  • Publication date
    September 20, 2012
  • Keywords
    finite mixtures, Student-t distributions, Importance Sampling, MCMC, Metropolis-Hastings algorithm, Expectation Maximization, Bayesian inference, R software
  • JEL
    C11, C15