Matches in SemOpenAlex for { <https://semopenalex.org/work/W2609454479> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W2609454479 abstract "Ergodic theorem shows that ergodic averages of the posterior draws converge in probability to the posterior mean under the stationarity assumption. The literature also shows that the posterior distribution is asymptotically normal when the sample size of the original data considered goes to infinity. To the best of our knowledge, there is little discussion on the large sample behaviour of the posterior mean. In this paper, we aim to fill this gap. In particular, we extend the posterior mean idea to the conditional mean case, which is conditioning on given vector of summary statistics of the original data. We establish a new asymptotic theory for the conditional mean estimator when both the sample size of the original data concerned and the number of Markov chain Monte Carlo iterations go to infinity. Simulation studies show that this conditional mean estimator has very good finite sample performance. In addition, we employ the conditional mean estimator to estimate a GARCH(1,1) model for S&P 500 stock returns and find that the conditional mean estimator performs better than quasi{maximum likelihood estimation in terms of out-of-sample forecasting." @default.
- W2609454479 created "2017-05-05" @default.
- W2609454479 creator A5021869615 @default.
- W2609454479 creator A5056772714 @default.
- W2609454479 creator A5065659844 @default.
- W2609454479 date "2017-01-01" @default.
- W2609454479 modified "2023-09-27" @default.
- W2609454479 title "Bayesian estimation based on summary statistics: Double asymptotics and practice" @default.
- W2609454479 hasPublicationYear "2017" @default.
- W2609454479 type Work @default.
- W2609454479 sameAs 2609454479 @default.
- W2609454479 citedByCount "0" @default.
- W2609454479 crossrefType "posted-content" @default.
- W2609454479 hasAuthorship W2609454479A5021869615 @default.
- W2609454479 hasAuthorship W2609454479A5056772714 @default.
- W2609454479 hasAuthorship W2609454479A5065659844 @default.
- W2609454479 hasConcept C105795698 @default.
- W2609454479 hasConcept C107673813 @default.
- W2609454479 hasConcept C122044880 @default.
- W2609454479 hasConcept C129848803 @default.
- W2609454479 hasConcept C134306372 @default.
- W2609454479 hasConcept C149782125 @default.
- W2609454479 hasConcept C185429906 @default.
- W2609454479 hasConcept C186215838 @default.
- W2609454479 hasConcept C28826006 @default.
- W2609454479 hasConcept C33923547 @default.
- W2609454479 hasConcept C43555835 @default.
- W2609454479 hasConcept C57830394 @default.
- W2609454479 hasConceptScore W2609454479C105795698 @default.
- W2609454479 hasConceptScore W2609454479C107673813 @default.
- W2609454479 hasConceptScore W2609454479C122044880 @default.
- W2609454479 hasConceptScore W2609454479C129848803 @default.
- W2609454479 hasConceptScore W2609454479C134306372 @default.
- W2609454479 hasConceptScore W2609454479C149782125 @default.
- W2609454479 hasConceptScore W2609454479C185429906 @default.
- W2609454479 hasConceptScore W2609454479C186215838 @default.
- W2609454479 hasConceptScore W2609454479C28826006 @default.
- W2609454479 hasConceptScore W2609454479C33923547 @default.
- W2609454479 hasConceptScore W2609454479C43555835 @default.
- W2609454479 hasConceptScore W2609454479C57830394 @default.
- W2609454479 hasLocation W26094544791 @default.
- W2609454479 hasOpenAccess W2609454479 @default.
- W2609454479 hasPrimaryLocation W26094544791 @default.
- W2609454479 hasRelatedWork W1919448723 @default.
- W2609454479 hasRelatedWork W1980541697 @default.
- W2609454479 hasRelatedWork W2003884522 @default.
- W2609454479 hasRelatedWork W2040003372 @default.
- W2609454479 hasRelatedWork W2080491599 @default.
- W2609454479 hasRelatedWork W2082241127 @default.
- W2609454479 hasRelatedWork W2098839452 @default.
- W2609454479 hasRelatedWork W2333203634 @default.
- W2609454479 hasRelatedWork W2345009014 @default.
- W2609454479 hasRelatedWork W2500798956 @default.
- W2609454479 hasRelatedWork W2508803225 @default.
- W2609454479 hasRelatedWork W2755467531 @default.
- W2609454479 hasRelatedWork W2783763654 @default.
- W2609454479 hasRelatedWork W2952513244 @default.
- W2609454479 hasRelatedWork W2963135460 @default.
- W2609454479 hasRelatedWork W2963245996 @default.
- W2609454479 hasRelatedWork W2963656411 @default.
- W2609454479 hasRelatedWork W2996668041 @default.
- W2609454479 hasRelatedWork W3121888555 @default.
- W2609454479 hasRelatedWork W3174030607 @default.
- W2609454479 isParatext "false" @default.
- W2609454479 isRetracted "false" @default.
- W2609454479 magId "2609454479" @default.
- W2609454479 workType "article" @default.