Slice sampling technique in Bayesian extreme of gold price modelling

• Main Authors: Rostami, Mohammad, Adam, Mohd Bakri, Ibrahim, Noor Akma, Yahya, Mohamed Hisham
• Format: Conference or Workshop Item
• Language: English
• Published: AIP Publishing LLC 2013
• Online Access: http://psasir.upm.edu.my/id/eprint/57168/1/Slice%20sampling%20technique%20in%20Bayesian%20extreme%20of%20gold%20price%20modelling.pdf; http://psasir.upm.edu.my/id/eprint/57168/; http://aip.scitation.org/doi/abs/10.1063/1.4823959
• Institution: Universiti Putra Malaysia

In this paper, a simulation study of Bayesian extreme values by using Markov Chain Monte Carlo via slice sampling algorithm is implemented. We compared the accuracy of slice sampling with other methods for a Gumbel model. This study revealed that slice sampling algorithm offers more accurate and clo...