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Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation

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  • Siddhartha Chib
  • Ivan Jeliazkov

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  • Siddhartha Chib & Ivan Jeliazkov, 2005. "Accept-reject Metropolis-Hastings sampling and marginal likelihood estimation," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(1), pages 30-44.
  • Handle: RePEc:bla:stanee:v:59:y:2005:i:1:p:30-44
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9574.2005.00277.x
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    References listed on IDEAS

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    1. Train,Kenneth E., 2009. "Discrete Choice Methods with Simulation," Cambridge Books, Cambridge University Press, number 9780521766555, April.
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    Cited by:

    1. Rufo, M.J. & Martín, J. & Pérez, C.J., 2010. "New approaches to compute Bayes factor in finite mixture models," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3324-3335, December.
    2. repec:eee:joinma:v:37:y:2017:i:c:p:16-31 is not listed on IDEAS
    3. Joshua C.C. Chan & Rodney Strachan, 2014. "The Zero Lower Bound: Implications for Modelling the Interest Rate," Working Paper series 42_14, Rimini Centre for Economic Analysis.
    4. Hosoe, Nobuhiro & Takagi, Shingo, 2012. "Retail power market competition with endogenous entry decision—An auction data analysis," Journal of the Japanese and International Economies, Elsevier, vol. 26(3), pages 351-368.
    5. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
    6. Nakajima, Jouchi & Omori, Yasuhiro, 2009. "Leverage, heavy-tails and correlated jumps in stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2335-2353, April.
    7. Ehlers, Ricardo S., 2012. "Computational tools for comparing asymmetric GARCH models via Bayes factors," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 82(5), pages 858-867.
    8. Jouchi Nakajima & Yasuhiro Omori, 2007. "Leverage, Heavy-Tails and Correlated Jumps in Stochastic Volatility Models (Revised in January 2008; Published in "Computational Statistics and Data Analysis", 53-6, 2335-2353. April 2009. )," CARF F-Series CARF-F-107, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    9. Michael J. Daniels & Arkendu S. Chatterjee & Chenguang Wang, 2012. "Bayesian Model Selection for Incomplete Data Using the Posterior Predictive Distribution," Biometrics, The International Biometric Society, vol. 68(4), pages 1055-1063, December.
    10. Yuta Kurose & Yasuhiro Omori & Akira Hibiki, 2014. "A Discrete/Continuous Choice Model on a Nonconvex Budget Set," CIRJE F-Series CIRJE-F-942, CIRJE, Faculty of Economics, University of Tokyo.
    11. Chan, Joshua & Strachan, Rodney, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," MPRA Paper 39360, University Library of Munich, Germany.
    12. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan.

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