Browsing Department of Mathematics and Physics (TN-IMF) by Author "Osmundsen, Kjartan Kloster"

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    • 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 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 ...