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Bc. Tomáš Balún

Master's thesis

Markov Chain Monte Carlo metody posteriorní simulace a jejich aplikace v ekonomii

MCMC posterior simulation methods and their application in economics
Abstract:
This diploma thesis deals with applying and comparing Mark Chain Monte Carlo simulators in individual cases. It particularly focuses on Metropolis-Hastings algorithms, namely Random walk chain and Independence chain. The thesis also pays attention to Gibbs sampler and Slice Sampling method. It also provides comparison results for individual algorithms in one-dimensional as well as three-dimensional …more
Abstract:
Diplomová práca sa zaoberá Markov Chain Monte Carlo simulátormi, ktoré aplikuje na jednotlivých príkladoch a následne ich porovnáva. Zameriava sa najmä na Metropolis-Hastings algoritmy a to Random walk chain, a Independence chain. Pozornosť je venovaná aj Gibbsovmu vzorkovaču a metóde Slice Sampling. Súčasťou práce sú aj výsledky porovnaní pre jednotlivé algoritmy či už pri jednorozmerný prípad alebo …more
 

Keywords

Markov Chain Monte Carlo Metropolis-Hastings Gibbs sampler Slice Sampling Random walk chain Independence chain
 
Language used: Slovak
Date on which the thesis was submitted / produced: 23. 5. 2011
Identifier: https://is.muni.cz/th/x64fh/

Thesis defence

  • Date of defence: 9. 6. 2011
  • Supervisor: Ing. Daniel Němec, Ph.D.
  • Reader: Mgr. Jaroslav Bil

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Institution archiving the thesis and making it accessible: Masarykova univerzita, Přírodovědecká fakulta
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Masaryk University

Faculty of Science

Master programme / field:
Applied Mathematics / Mathematics - Economics

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