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...
Saved in:
| Main Authors: | , , , |
|---|---|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!