TI 2012-026/4 Tinbergen Institute Discussion Paper

A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation

Lennart Hoogerheide1,2

Anne Opschoor2,3

Herman K. van Dijk1,2,3

1 Faculty of Economics and Business Administration, VU University Amsterdam; 2 Tinbergen Institute; 3 Erasmus School of Economics, Erasmus University Rotterdam.