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Sequential Monte Carlo EM for multivariate probit models

โœ Scribed by Moffa, Giusi; Kuipers, Jack


Book ID
122112940
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
700 KB
Volume
72
Category
Article
ISSN
0167-9473

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Monte Carlo EM estimation for multivaria
โœ Nalini Ravishanker; Zuqiang Qiou ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 97 KB

We describe parameter estimation for the multivariate sub-Gaussian symmetric stable distribution using Monte Carlo EM algorithm. Two augmented vectors are employed in the construction of the posterior joint density of the stable parameters. Gibbs sampling enables the generation of these vectors from