Minh-Ngoc Tran

UNSW Business School

UNSW Business School

High St

Sydney, NSW 2052

Australia

  • UNSW Business School

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Importance Sampling Squared for Bayesian Inference in Latent Variable Models

Number of pages: 39 Posted: 28 Jan 2014
Minh-Ngoc Tran, Marcel Scharth, Michael K. Pitt and Robert Kohn
UNSW Business School, The University of Sydney, University of Warwick and University of New South Wales - School of Economics and School of Banking and Finance
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Abstract:

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Efficient importance sampling, marginal likelihood, multinomial logit, particle marginal Metropolis-Hastings, optimal number of particles, stochastic volatility