Ricardo S. Ehlers

Modeling Compositional Regression With Uncorrelated and Correlated Errors: A Bayesian Approach

2021 · Journal of Data Science

Compositional data consist of known compositions vectors whose components are positive and defined in the interval (0,1) representing proportions or fractions of a “whole”. The sum of these components must be equal to one. Compositional …

Zero Variance and Hamiltonian Monte Carlo Methods in GARCH Models

2017 · arXiv (Cornell University)

In this paper, we develop Bayesian Hamiltonian Monte Carlo methods for inference in asymmetric GARCH models under different distributions for the error term. We implemented Zero-variance and Hamiltonian Monte Carlo schemes for parameter estimation to …