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State-Observation Sampling and the Econometrics of Learning Models
Hidden Markov model particle filter state-observation sampling learning indirect inference forecasting state space model value at risk
2011/6/20
In nonlinear state-space models, sequential learning about the hidden state can proceed
by particle filtering when the density of the observation conditional on the state is available
analytically (...
Multivariate stratified sampling by stochastic multiobjective optimisation
Multivariate stratified random sampling multiobjective E-model
2011/7/5
This work considers the allocation problem for multivariate stratified random sampling as a problem of integer non-linear stochastic multiobjective mathematical programming.
Restricted Collapsed Draw: Accurate Sampling for Hierarchical Chinese Restaurant Process Hidden Markov Models
Restricted Collapsed Draw Accurate Sampling Hierarchical Chinese
2011/7/5
We propose a restricted collapsed draw (RCD) sampler, a general Markov chain Monte Carlo sampler of simultaneous draws from a hierarchical Chinese restaurant process (HCRP) with restriction.