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/ http://psasir.upm.edu.my/id/eprint/57168/ http://psasir.upm.edu.my/id/eprint/57168/ http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf

id	upm-57168
recordtype	eprints
spelling	upm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Putra Malaysia
building	UPM Institutional Repository
collection	Online Access
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/ http://psasir.upm.edu.my/id/eprint/57168/ http://psasir.upm.edu.my/id/eprint/57168/ http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf
first_indexed	2018-09-07T18:51:46Z
last_indexed	2018-09-07T18:51:46Z
_version_	1610975865121800192

Slice sampling technique in Bayesian extreme of gold price modelling

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