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A Class of Adaptive Importance Sampling Weighted EM Algorithms for

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TI 2012-026/4 Tinbergen Institute Discussion Paper A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation Lennart Hoogerheide 1,2 Anne Opschoor 2,3 Herman K. van Dijk 1,2,3 1 Faculty of Economics and Business Administration, VU University Amsterdam; 2 Tinbergen Institute; 3 Erasmus School of Economics, Erasmus University Rotterdam.
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Page 1: A Class of Adaptive Importance Sampling Weighted EM Algorithms for

TI 2012-026/4 Tinbergen Institute Discussion Paper

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Lennart Hoogerheide1,2

Anne Opschoor2,3

Herman K. van Dijk1,2,3

1 Faculty of Economics and Business Administration, VU University Amsterdam; 2 Tinbergen Institute; 3 Erasmus School of Economics, Erasmus University Rotterdam.

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