Adaptive radial-based direction sampling (ARDS) algorithms are specified for Bayesian analysis of models with nonelliptical, possibly, multimodal target distributions. %Use is made of a %composite transformation to induce a more regular shape of the %posterior in the transformed space than in the original space. A key step is a radial-based transformation to directions and distances. After the transformations a Metropolis-Hastings method or, alternatively, an importance sampling method is applied to evaluate generated directions. Next, distances are generated from the exact target distribution by means of the numerical inverse transformation method. An adaptive procedure is applied to update the initial location and covariance matrix in order to sample directions in an efficient way. Tested on a set of canonical mixture models that feature multimodality, strong correlation, and skewness, the ARDS algorithms compare favourably with the standard Metropolis-Hastings and importance samplers in terms of flexibility and robustness. The empirical examples include a regression model with scale contamination and a mixture model for economic growth of the USA.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Erasmus University Rotterdam, Econometric Institute in its series Econometric Institute Report with number
327.
Find related papers by JEL classification: C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)