It took us a loooong while [for various and uninteresting reasons] but we finally ended up completing a paper on ABC using empirical likelihood (EL) that was started by me listening to Brunero Liseo’s tutorial in O’Bayes-2011 in Shanghai… Brunero mentioned empirical likelihood as a semi-parametric technique w/... [Read more...]

As part of an on-going paper with Kerrie Mengersen and Pierre Pudlo, we are using a GARCH(1,1) model as a target. Thus, the model is of the form which is a somehow puzzling object: the latent (variance) part is deterministic and can be reconstructed exactly given the series and the ... [Read more...]