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- Joshua C. C. Chan, Ivan Jeliazkov
- IJMNO
- 2009

We consider the problem of implementing simple and efficient Markov chain Monte Carlo (MCMC) estimation algorithms for state space models. A conceptually transparent derivation of the posteriorâ€¦ (More)

- Joshua C. C. Chan, Dirk P. Kroese
- Statistics and Computing
- 2012

The cross-entropy (CE) method is an adaptive importance sampling procedure that has been successfully applied to a diverse range of complicated simulation problems. However, recent research has shownâ€¦ (More)

We introduce a new class of models that has both stochastic volatility and moving average errors, where the conditional mean has a state space representation. Having a moving average component,â€¦ (More)

The variance minimization (VM) and cross-entropy (CE) methods are two versatile adaptive importance sampling procedures that have been successfully applied to a wide variety of difficult rare-eventâ€¦ (More)

This paper introduces a new model of trend inflation. In contrast to many earlier approaches, which allow for trend inflation to evolve according to a random walk, ours is a bounded model whichâ€¦ (More)

- Joshua C. C. Chan, Angelia L. Grant
- Computational Statistics & Data Analysis
- 2016

The deviance information criterion (DIC) has been widely used for Bayesian model comparison. However, recent studies have cautioned against the use of the DIC for comparing latent variable models. Inâ€¦ (More)

- Joshua C. C. Chan, Dirk P. Kroese
- European Journal of Operational Research
- 2010

We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interest is the probabilityâ€¦ (More)

Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-Â…tting unless the dimension of the model isâ€¦ (More)

- Tim J. Brereton, Joshua C. C. Chan, Dirk P. Kroese
- Proceedings of the 2011 Winter Simulationâ€¦
- 2011

In some rare-event settings, exponentially twisted distributions perform very badly. One solution to this problem is to use mixture distributions. However, it is difficult to select a good mixtureâ€¦ (More)

- Joshua C. C. Chan, Dirk P. Kroese
- 2008 Winter Simulation Conference
- 2008

Combinatorial auctions, where buyers can bid on bundles of items rather than bidding them sequentially, often lead to more economically efficient allocations of financial resources. However, theâ€¦ (More)