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Statistics of Multivariate Extremes with Applications in Risk Management

von Dr. Rodrigo Herrera

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Statistik und Sichtungsnachweis dieser Seite findet sich am Artikelende

[1.] Rh/Fragment 150 11 - Diskussion
Zuletzt bearbeitet: 2012-07-30 23:32:08 Hindemith
Chen et al. 2006, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung

Typus
Verschleierung
Bearbeiter
Graf Isolan
Gesichtet
Yes
Untersuchte Arbeit:
Seite: 150, Zeilen: 10-18
Quelle: Chen et al. 2006
Seite(n): 8 (preprint), Zeilen: 26-36
5.5.5. Prediction. The calculation of the predictive probability of new data will be averaged over a number of MCMC samples, which are selected from those samples where the algorithm tends to stabilize. Stabilization will be assessed heuristically based on the value of the log-likelihood. Additionally to eliminate the auto-correlation, one sample will be selected from each consecutive set of 10 iterations. For a particular MCMC sample, the predictive probability is attained from two components: the represented and the unrepresented mixtures. In a similar manner to that adopted in the sampling stage, the probability from unrepresented mixtures will be approximated by a finite mixture of Gaussians, whose parameters (&#x03BCl, &#x03A9l) are drawn from the prior. 2.4 Prediction

The calculation of the predictive probability of new data will be averaged over a number of MCMC samples, which are selected from those where the algorithm tends to stabilize. Stabilization will be assessed heuristically based on the value of the log-likelihood. Additionally to eliminate the auto-correlation, one sample will be selected from each consecutive set of 10 iterations.

For a particular MCMC sample, the predictive probability is attained from two components: the represented and the unrepresented mixtures. In a similar manner to that adopted in the sampling stage, the probability from unrepresented mixtures will be approximated by a finite mixture of Gaussians, whose parameters, (&#x03BCj, &#x03C4j) are drawn from the prior.

Anmerkungen

identisch; ohne Kennzeichnung und ohne Quellenangabe.

Sichter
(Graf Isolan), KnallErbse, Hindemith



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Letzte Bearbeitung dieser Seite: durch Benutzer:Hindemith, Zeitstempel: 20120730233703