Blar i UiS Brage på forfatter "Kleppe, Tore Selland"
-
Connecting the Dots: Numerical Randomized Hamiltonian Monte Carlo with State-Dependent Event Rates
Kleppe, Tore Selland (Peer reviewed; Journal article, 2022)Numerical generalized randomized Hamiltonian Monte Carlo is introduced, as a robust, easy to use and computationally fast alternative to conventional Markov chain Monte Carlo methods for continuous target distributions. A ... -
Essays in statistics and econometrics
Osmundsen, Kjartan Kloster (PhD thesis UiS; 523, Doctoral thesis, 2020-05)Helped by cheaper data computation, companies make more use of sophisticated statistical analysis in decision making and economic management. In the dissertation I evaluate and develop statistical methods and apply them ... -
Estimating and Forecasting of Dynamic linear Gaussian State Space Models for Commodity Futures
Holen, Anders (Masteroppgave/UIS-TN-IMF/2019;, Master thesis, 2019-06-14)The Kalman filter is used to estimate the parameters and forecast the observations in a dynamic Nelson-Siegel model a linear Gaussian state space representation for futures contracts on the commodities oil, natural gas, ... -
Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices
Osmundsen, Kjartan Kloster; Kleppe, Tore Selland; Liesenfeld, Roman; Oglend, Atle (Peer reviewed; Journal article, 2021)We propose a State-Space Model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions and adds to previous ... -
Hvordan henger økningen av bensinprisen sammen med inflasjonen av den norske kronen?
Behrends, Swantje (Bachelor thesis, 2022)I denne oppgaven er problemstillingen om bensinprisen øker sammen med inflasjonen til den norske kronen. Nå i dag er det mange som klager over at bensinprisene er så høye og at de har økt ekstremt. Da ble en nysgjerrig og ... -
Importance Sampling-based Transport Map Hamiltonian Monte Carlo for Bayesian Hierarchical Models
Osmundsen, Kjartan Kloster; Kleppe, Tore Selland; Liesenfeld, Roman (Peer reviewed; Journal article, 2021-06)We propose an importance sampling (IS)-based transport map Hamiltonian Monte Carlo procedure for performing a Bayesian analysis in nonlinear high-dimensional hierarchical models. Using IS techniques to construct a transport ... -
Information in Local Curvature: Three Papers on Adaptive Methods in Computational Statistics
Lunde, Berent Ånund Strømnes (PhD thesis UiS;562, Doctoral thesis, 2020-11)Advanced statistical computations have become increasingly important, as with the increased flexibility of models capturing complex relationships in new data and use-cases, comes increased difficulties of fitting procedures ... -
Log-density gradient covariance and automatic metric tensors for Riemann manifold Monte Carlo methods
Kleppe, Tore Selland (Peer reviewed; Journal article, 2023)A metric tensor for Riemann manifold Monte Carlo particularly suited for nonlinear Bayesian hierarchical models is proposed. The metric tensor is built from symmetric positive semidefinite log-density gradient covariance ... -
Markov chain Monte Carlo
Nordhaug, Benjamin Hansen (Bachelor thesis, 2022)Denne bachelor avhandlingen går tar for seg Markovkjede og introduserer Metropolis-Hastings algoritmer. Avhandlingen går mer dypt inn i diskret tid Markovkjede. Metropolis-Hastings algoritme en type Markovkjede Monte Carlo. ...