38 citations · 48 across the 14 of their papers we have counts for
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q-fin.CP2010
Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model
Gareth W. Peters, Balakrishnan Kannan, Ben Lasscock +1
This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach…
q-fin.CP2010★ 38 cited
Chain ladder method: Bayesian bootstrap versus classical bootstrap
Gareth W. Peters, Mario V. Wüthrich, Pavel V. Shevchenko
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model using approximate Bayesian computation (ABC) methodology. We demonstrate how to es…