Slice sampling technique in Bayesian extreme of gold price modelling

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...

Full description

Bibliographic Details
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/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf

Similar Items

Similar Items