John Geweke

Interpreting the Likelihood Ratio Statistic in Factor Models When Sample Size is Small

Abstract The use of the likelihood ratio statistic in testing the goodness of fit of the exploratory factor model has no formal justification when, as is often the case in pract...

Antithetic acceleration of Monte Carlo integration in Bayesian inference

Efficient Simulation from the Multivariate Normal and Student-t Distributions Subject to Linear Constraints and the Evaluation of Constraint Probabilities

The construction and implementation of a Gibbs sampler for efficient simulation from the truncated multivariate normal and Student-t distributions is described. It is shown how ...