Blar i UiS Brage på forfatter "Liesenfeld, Roman"
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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 ... -
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 ...