3 papers
stat.AP2020
Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices
Kjartan Kloster Osmundsen, Tore Selland Kleppe, Roman Liesenfeld +1
We propose a state-space model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of s…
stat.CO2019
Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
Tore Selland Kleppe, Roman Liesenfeld, Guilherme Valle Moura +1
We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynami…
stat.CO2018
Importance Sampling-based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
Kjartan Kloster Osmundsen, Tore Selland Kleppe, Roman Liesenfeld
We propose an importance sampling (IS)-based transport map Hamiltonian Monte Carlo procedure for performing full Bayesian analysis in general nonlinear high-dimensional hierarchica…