Forecasting high-dimensional, time-varying variance-covariance matrices with high-frequency data and sampling Pólya-Gamma random variates for posterior distributions derived from logistic likelihoods
The first portion of this thesis develops efficient samplers for the Pólya-Gamma distribution, an essential component of the eponymous data augmentation technique that can be used to simulate posterior distributions derived from logistic likelihoods. Building fast computational schemes for such mo...
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| Format: | Others |
| Language: | en_US |
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2013
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| Online Access: | http://hdl.handle.net/2152/21842 |