Importance sampling from posterior distributions using copula-like approximations

A-Tier
Journal: Journal of Econometrics
Year: 2019
Volume: 210
Issue: 1
Pages: 45-57

Authors (2)

Dellaportas, Petros (not in RePEc) Tsionas, Mike G.

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We provide generic approximations to k-dimensional posterior distributions through an importance sampling strategy. The importance function is a product of k univariate of Student-t densities and a k-dimensional beta-Liouville density truncated on the hypercube. The parameters of the densities and the number of components in the mixtures are adaptively optimised along the Monte Carlo sampling. For challenging high dimensional latent Gaussian models we propose a nested importance function approximation. We apply the techniques to a range of econometric models that have appeared in the literature, and we document their satisfactory performance relative to the alternatives.

Technical Details

RePEc Handle
repec:eee:econom:v:210:y:2019:i:1:p:45-57
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25