Technique | T | N G | Init. | MAE | Â | Â | Â | Avg. MAE | Time |
---|---|---|---|---|---|---|---|---|---|
 |  |  |  | Mean | Variance | Skewness | Kurtosis |  |  |
Panel I | |||||||||
AISM-P4 | 3 | 2000 | In1 | 0.878 | 0.781 | 0.437 | 0.223 | 0.579 | 0.066 |
 | 5 |  |  | 0.749 | 0.576 | 0.389 | 0.160 | 0.468 | 0.098 |
 | 10 |  |  | 0.266 | 0.057 | 0.136 | 0.020 | 0.120 | 0.178 |
 | 50 |  |  | 0.101 | 0.041 | 0.051 | 0.003 | 0.049 | 0.741 |
AISMTM-P4 | 3 | 2000 | In1 | 0.251 | 0.056 | 0.128 | 0.017 | 0.113 | 0.202 |
(M=5) | 10 | Â | Â | 0.096 | 0.031 | 0.048 | 0.003 | 0.044 | 0.642 |
ARMS | 3 | 2000 | In1 | 3.408 | 11.580 | 3.384 | 11.572 | 7.486 | 0.077 |
 | 5 |  |  | 3.151 | 9.839 | 2.650 | 7.079 | 5.679 | 0.116 |
 | 10 |  |  | 2.798 | 7.665 | 2.024 | 4.124 | 4.152 | 0.223 |
 | 50 |  |  | 1.918 | 3.407 | 1.134 | 1.292 | 1.937 | 1.000 |
MH (σ p =1) | 100 | 2000 | In1 | 3.509 | 12.308 | 3.671 | 13.666 | 8.288 | 0.602 |
MH (σ p =2) |  |  |  | 1.756 | 3.077 | 0.978 | 0.963 | 1.693 | 0.602 |
MH (σ p =10) |  |  |  | 0.075 | 0.037 | 0.036 | 0.002 | 0.038 | 0.602 |
MH (σ p =1) | 1000 | 2000 | In1 | 3.508 | 12.302 | 3.665 | 13.624 | 8.274 | 4.052 |
MH (σ p =2) |  |  |  | 1.601 | 2.560 | 0.874 | 0.769 | 1.451 | 4.052 |
MH (σ p =10) |  |  |  | 0.074 | 0.036 | 0.036 | 0.002 | 0.037 | 4.052 |
MH (σ p =10) | 1 | 2000 | In1 | 0.697 | 11.598 | 0.883 | 3.622 | 4.200 | 0.033 |
 |  | 10000 |  | 0.493 | 9.881 | 0.611 | 2.905 | 3.472 | 0.162 |
 | 3 | 2000 |  | 0.352 | 6.510 | 0.290 | 0.927 | 2.019 | 0.042 |
 | 10 |  |  | 0.085 | 1.411 | 0.043 | 0.160 | 0.424 | 0.081 |
Adaptive MH | 100 | 2000 | In1 | 0.415 | 0.304 | 0.234 | 0.068 | 0.255 | 0.634 |
 | 1000 |  |  | 0.075 | 0.038 | 0.037 | 0.002 | 0.038 | 4.107 |
HMC | 10 | 2000 | In1 | 0.091 | 1.509 | 0.042 | 0.123 | 0.441 | 0.092 |
 | 100 |  |  | 0.078 | 0.037 | 0.039 | 0.002 | 0.039 | 0.630 |
Slice | 3 | 2000 | In1 | 0.810 | 1.174 | 0.415 | 0.231 | 0.658 | 0.156 |
 | 10 |  |  | 0.607 | 0.372 | 0.306 | 0.096 | 0.345 | 0.463 |
 | 50 |  |  | 0.156 | 0.043 | 0.077 | 0.007 | 0.071 | 2.311 |
Panel II | |||||||||
AISM-P4 | 3 | 2000 | In2 | 0.138 | 0.055 | 0.070 | 0.006 | 0.067 | 0.066 |
 | 5 |  |  | 0.112 | 0.050 | 0.057 | 0.004 | 0.056 | 0.098 |
 | 10 |  |  | 0.093 | 0.045 | 0.046 | 0.002 | 0.046 | 0.178 |
 | 3 | 10000 |  | 0.095 | 0.023 | 0.050 | 0.002 | 0.042 | 0.335 |
AISMTM-P4 | 3 | 2000 | In2 | 0.085 | 0.036 | 0.043 | 0.002 | 0.042 | 0.202 |
(M=5) | Â | 4000 | Â | 0.083 | 0.028 | 0.042 | 0.002 | 0.038 | 0.400 |
(M=10) | Â | 2000 | Â | 0.073 | 0.031 | 0.036 | 0.002 | 0.035 | 0.316 |