Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation
This paper deals with the Monte Carlo Simulation in a Bayesian framework. It shows the importance of the use of Monte Carlo experiments through refined descriptive sampling within the autoregressive model $ X_{t}=\rho X_{t-1}+Y_{t} $ , where $ 0 \lt \rho \lt 1 $ and the errors $ Y_{t} $ are independ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-07-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2023.2180225 |
| _version_ | 1797677026965979136 |
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| author | Djoweyda Ghouil Megdouda Ourbih-Tari |
| author_facet | Djoweyda Ghouil Megdouda Ourbih-Tari |
| author_sort | Djoweyda Ghouil |
| collection | DOAJ |
| description | This paper deals with the Monte Carlo Simulation in a Bayesian framework. It shows the importance of the use of Monte Carlo experiments through refined descriptive sampling within the autoregressive model $ X_{t}=\rho X_{t-1}+Y_{t} $ , where $ 0 \lt \rho \lt 1 $ and the errors $ Y_{t} $ are independent random variables following an exponential distribution of parameter θ. To achieve this, a Bayesian Autoregressive Adaptive Refined Descriptive Sampling (B2ARDS) algorithm is proposed to estimate the parameters ρ and θ of such a model by a Bayesian method. We have used the same prior as the one already used by some authors, and computed their properties when the Normality error assumption is released to an exponential distribution. The results show that B2ARDS algorithm provides accurate and efficient point estimates. |
| first_indexed | 2024-03-11T22:38:57Z |
| format | Article |
| id | doaj.art-9d5cff134acf487fa166d4b196e716ae |
| institution | Directory Open Access Journal |
| issn | 2475-4269 2475-4277 |
| language | English |
| last_indexed | 2024-03-11T22:38:57Z |
| publishDate | 2023-07-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Statistical Theory and Related Fields |
| spelling | doaj.art-9d5cff134acf487fa166d4b196e716ae2023-09-22T09:19:46ZengTaylor & Francis GroupStatistical Theory and Related Fields2475-42692475-42772023-07-017317718710.1080/24754269.2023.21802252180225Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulationDjoweyda Ghouil0Megdouda Ourbih-Tari1Université de Tizi OuzouUniversity Center of TipazaThis paper deals with the Monte Carlo Simulation in a Bayesian framework. It shows the importance of the use of Monte Carlo experiments through refined descriptive sampling within the autoregressive model $ X_{t}=\rho X_{t-1}+Y_{t} $ , where $ 0 \lt \rho \lt 1 $ and the errors $ Y_{t} $ are independent random variables following an exponential distribution of parameter θ. To achieve this, a Bayesian Autoregressive Adaptive Refined Descriptive Sampling (B2ARDS) algorithm is proposed to estimate the parameters ρ and θ of such a model by a Bayesian method. We have used the same prior as the one already used by some authors, and computed their properties when the Normality error assumption is released to an exponential distribution. The results show that B2ARDS algorithm provides accurate and efficient point estimates.http://dx.doi.org/10.1080/24754269.2023.2180225monte carlo simulationrefined descriptive sampling methodsvariance reductionautoregressive processbayesian estimation |
| spellingShingle | Djoweyda Ghouil Megdouda Ourbih-Tari Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation Statistical Theory and Related Fields monte carlo simulation refined descriptive sampling methods variance reduction autoregressive process bayesian estimation |
| title | Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation |
| title_full | Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation |
| title_fullStr | Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation |
| title_full_unstemmed | Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation |
| title_short | Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation |
| title_sort | bayesian autoregressive adaptive refined descriptive sampling algorithm in the monte carlo simulation |
| topic | monte carlo simulation refined descriptive sampling methods variance reduction autoregressive process bayesian estimation |
| url | http://dx.doi.org/10.1080/24754269.2023.2180225 |
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