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Slice sampling technique in Bayesian extreme of gold price modelling

In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and clo...

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Main Authors: Rostami, Mohammad, Adam, Mohd Bakri, Ibrahim, Noor Akma, Yahya, Mohamed Hisham
Format: Conference or Workshop Item
Language:English
Published: AIP Publishing LLC 2013
Online Access:http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf
http://psasir.upm.edu.my/id/eprint/57168/
http://aip.scitation.org/doi/abs/10.1063/1.4823959
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spelling my.upm.eprints.571682017-09-08T05:30:55Z http://psasir.upm.edu.my/id/eprint/57168/ Slice sampling technique in Bayesian extreme of gold price modelling Rostami, Mohammad Adam, Mohd Bakri Ibrahim, Noor Akma Yahya, Mohamed Hisham In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and closer estimates with less RMSE than other methods. Finally we successfully employed this procedure to estimate the parameters of Malaysia extreme gold price from 2000 to 2011. AIP Publishing LLC 2013 Conference or Workshop Item PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf Rostami, Mohammad and Adam, Mohd Bakri and Ibrahim, Noor Akma and Yahya, Mohamed Hisham (2013) Slice sampling technique in Bayesian extreme of gold price modelling. In: International Conference on Mathematical Sciences and Statistics 2013 (ICMSS2013), 5-7 Feb. 2013, Kuala Lumpur, Malaysia. (pp. 473-477). http://aip.scitation.org/doi/abs/10.1063/1.4823959 10.1063/1.4823959
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and closer estimates with less RMSE than other methods. Finally we successfully employed this procedure to estimate the parameters of Malaysia extreme gold price from 2000 to 2011.
format Conference or Workshop Item
author Rostami, Mohammad
Adam, Mohd Bakri
Ibrahim, Noor Akma
Yahya, Mohamed Hisham
spellingShingle Rostami, Mohammad
Adam, Mohd Bakri
Ibrahim, Noor Akma
Yahya, Mohamed Hisham
Slice sampling technique in Bayesian extreme of gold price modelling
author_facet Rostami, Mohammad
Adam, Mohd Bakri
Ibrahim, Noor Akma
Yahya, Mohamed Hisham
author_sort Rostami, Mohammad
title Slice sampling technique in Bayesian extreme of gold price modelling
title_short Slice sampling technique in Bayesian extreme of gold price modelling
title_full Slice sampling technique in Bayesian extreme of gold price modelling
title_fullStr Slice sampling technique in Bayesian extreme of gold price modelling
title_full_unstemmed Slice sampling technique in Bayesian extreme of gold price modelling
title_sort slice sampling technique in bayesian extreme of gold price modelling
publisher AIP Publishing LLC
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf
http://psasir.upm.edu.my/id/eprint/57168/
http://aip.scitation.org/doi/abs/10.1063/1.4823959
_version_ 1643836405505327104
score 13.211869

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