Search results

1

Bayesian Inference for State Space Model with Panel Data

100%

Pandey R., Chaturvedi A.

Statistics in Transition new series

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2016

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vol. 17

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issue 2

211-220

EN

The present work explores panel data set-up in a Bayesian state space model. The conditional posterior densities of parameters are utilized to determine the marginal posterior densities using the Gibbs sampler. An efficient one step ahead predictive density mechanism is developed to further the state of art in prediction-based decision making.

2

Chronologia i periodyzacja cmentarzyska z epoki brązu i wczesnej epoki żelaza w Domasławiu, pow. wrocławski, na podstawie datowania radiowęglowego

100%

Goslar T.

Przegląd Archeologiczny

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2019

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vol. 67

31-48

EN

The article presents the results of the radiocarbon dating and Bayesian analysis of 14C dates of bones from the burial ground in Domasław. The Bayesian analysis used the relative chronology obtained based on the characteristic features of grave goods and the assigning of individual burials to specific periods of the late Bronze Age (II EB – V EB ) or the early Iron Age (HC – LtA). A coherent chronological model of the burial ground was accepted after assuming that graves with transitional features, attributable to two subsequent periods, could have been contemporary of graves from one or the other period. The temporal frames of particular periods calculated by the model allow us to improve previously published chronological diagrams of the late Bronze Age and the early Iron Age in the region.

3

Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models

100%

Wróblewska J.

Central European Journal of Economic Modelling and Econometrics

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2011

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issue 3

4

Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation

100%

Pajor A., Cracow University of Economics D. o. E.

Acta Universitatis Lodziensis. Folia Oeconomica

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2005

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vol. 192

EN

In this paper we present the multivariate stochastic volatility model based on the Cholesky decomposition. This model and the Bayesian approach is used to model bivariate daily financial time series and construct an optimal portfolio. We consider the hypothetical portfolios consisted of two currencies that were most important for the Polish economy: the US dollar and the German mark. In the optimization process we used the predictive distributions of future returns and the predictive covariance matrix obtained from the MSV model.

PL

W artykule przedstawiono model zmienności stochastycznej, oparty na dekompozycji Choleskiego. Następnie model SV oraz podejście Bayesowskie zostało wykorzystane do modelowania zmienności dwuwymiarowych finansowych szeregów czasowych oraz budowy optymalnego portfela walutowego. Rozważono hipotetyczny portfel, w skład którego wchodzą złotówkowe kursy dwóch walut: dolara amerykańskiego i marki niemieckiej. W procesie optymalizacji portfela wykorzystano predyktywny rozkład stóp zwrotu oraz predyktywny rozkład macierzy warunkowych kowariancji, uzyskany w rozważanym modelu MSV za pomocą metod Monte Carlo (MCMC).

5

Odd log-logistic generalised Lindley distribution with properties and applications

88%

Ranjbar V., Eftekharian A., Kharazmi O., Alizadeh M.

Statistics in Transition new series

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2023

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vol. 24

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issue 4

71-92

EN

In this paper, a new three-parameter lifetime model, called the odd log-logistic generalised Lindley distribution, is introduced. Some structural properties of the new distribution including ordinary and incomplete moments, quantile and generating functions and order statistics are obtained. The new density function can be expressed as a linear mixture of exponentiated Lindley densities. Different methods are discussed to estimate the model parameters and a simulation study is carried out to show the performance of the new distribution. The importance and flexibility of the new model are also illustrated empirically by means of two real data sets. Finally, Bayesian analysis and Gibbs sampling are performed based on the two real data sets.

6

Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework

88%

Kwiatkowski Ł.

Central European Journal of Economic Modelling and Econometrics

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2010

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issue 1

7

Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models

88%

Wróblewska J.

Central European Journal of Economic Modelling and Econometrics

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2012

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issue 4

8

One-Period Joint Forecasts of Polish Inflation, Unemployment and Interest Rate Using Bayesian VEC-MSF Models

88%

Pajor A.

Central European Journal of Economic Modelling and Econometrics

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2019

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issue 1

9

Bayesian Estimation of Capital Stock and Depreciation in the Production Function Framework

88%

Boratyński J., Osiewalski J.

Central European Journal of Economic Modelling and Econometrics

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2021

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issue 4

10

BAYESIAN CONFIDENCE INTERVALS FOR THE NUMBER AND THE SIZE OF LOSSES IN THE OPTIMAL BONUS–MALUS SYSTEM

88%

Dudzinski M., Furmanczyk K., Kocinski M.

Metody Ilościowe w Badaniach Ekonomicznych

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2013

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vol. 14

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issue 1

93-104

EN

Most of the so far proposed Bonus–Malus Systems (BMSs) establish a premium only according to the number of accidents, without paying attention to the vehicle damage severity. [Frangos and Vrontos 2001] proposed the optimal BMS design based not only on the number of accidents of a policyholder, but also on the size of loss of each accident. In our work, we apply the approach presented by Frangos and Vrontos to construct the Bayesian confidence intervals for both the number of accidents and the amount of damage caused by these accidents. We also conduct some simulations in order to create tables of estimates for both the numbers and the sizes of losses and to compute the realizations of the corresponding Bayesian confidence intervals. We compare the results obtained by using our simulation studies with the appropriate results derived through an application of an asymmetric loss function and its certain modification.93-104

11

Bayesian Model Selection in the Analysis of Cointegration

75%

Wróblewska J.

Central European Journal of Economic Modelling and Econometrics

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2009

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issue 1

12

Common Trends and Common Cycles - Bayesian Approach

75%

Central European Journal of Economic Modelling and Econometrics

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2015

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issue 2

13

Bayesian Analysis of a Regime Switching in-Mean Effect for the Polish Stock Market

75%

Kwiatkowski Ł.

Central European Journal of Economic Modelling and Econometrics

|

2011

|

issue 4

Refine search results

Bayesian Inference for State Space Model with Panel Data

Chronologia i periodyzacja cmentarzyska z epoki brązu i wczesnej epoki żelaza w Domasławiu, pow. wrocławski, na podstawie datowania radiowęglowego

Bayesian Analysis of Weak Form Reduced Rank Structure in VEC Models

Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation

Odd log-logistic generalised Lindley distribution with properties and applications

Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework

Bayesian Analysis of Weak Form Polynomial Reduced Rank Structures in VEC Models

One-Period Joint Forecasts of Polish Inflation, Unemployment and Interest Rate Using Bayesian VEC-MSF Models

Bayesian Estimation of Capital Stock and Depreciation in the Production Function Framework

BAYESIAN CONFIDENCE INTERVALS FOR THE NUMBER AND THE SIZE OF LOSSES IN THE OPTIMAL BONUS–MALUS SYSTEM

Bayesian Model Selection in the Analysis of Cointegration

Common Trends and Common Cycles - Bayesian Approach

Bayesian Analysis of a Regime Switching in-Mean Effect for the Polish Stock Market