Arbeitspapier
Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill-behaved posteriordistributions. In order to sample efficiently from such a distribution,a location-scale transformation and a transformation to polarcoordinates are used. After the transformation to polar coordinates, aMetropolis-Hastings algorithm is applied to sample directions and,conditionally on these, distances are generated by inverting the CDF.A sequential procedure is applied to update the location and scale.Tested on a set of canonical models that feature nearnon-identifiability, strong correlation, and bimodality, APS comparesfavourably with the standard Metropolis-Hastings sampler in terms ofparsimony and robustness. APS is applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return of the Dow Jones stock index.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 99-082/4
- Classification
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Computational Techniques; Simulation Modeling
- Subject
-
Markov chain Monte Carlo
simulation
polar coordinates
GARCH
ill-behaved posterior
Value-at-Risk
Stichprobenverfahren
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Bauwens, Luc
Bos, Charles S.
van Dijk, Herman K.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1999
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Bauwens, Luc
- Bos, Charles S.
- van Dijk, Herman K.
- Tinbergen Institute
Time of origin
- 1999
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