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Forecast density combinations with dynamic learning for large data sets in economics and finance
Casarin, Roberto; Grassi, Stefano; Ravazzollo, Francesco; … - 2019
A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction step is introduced using a sequential...
Persistent link: https://www.econbiz.de/10011989086
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Learning to average predictively over good and bad : comment on : using stacking to average Bayesian predictive distributions
Hoogerheide, Lennart; Dijk, Herman K. van - 2018
We suggest to extend the stacking procedure for a combination of predictive densities, proposed by Yao, Vehtari, Simpson, and Gelman(2018), to a setting where dynamic learning occurs about features of predictive densities of possibly misspecified models. This improves the averaging process of...
Persistent link: https://www.econbiz.de/10011895574
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Heterogeneous variable selection in nonlinear panel data models : a semiparametric Bayesian approach
Castelein, Anoek; Fok, Dennis; Paap, Richard - 2020
method additionally allows for other forms of cross-sectional heterogeneity. We consider a two-group approach for the model … Dirichlet process (DP) mixture of multivariate normals (other cross-sectional heterogeneity). We develop our approach for … continuous heterogeneity leads to an improved in-sample and out-of-sample performance and interesting insights. These findings …
Persistent link: https://www.econbiz.de/10012427429
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Information at a cost
Robalo, Pedro; Sayag, Rei - 2012
Persistent link: https://www.econbiz.de/10009724308
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Measuring responsiveness to feedback as a personal trait
Buser, Thomas; Gerhards, Leonie; Weele, Joël J. van der - 2016
People typically update their beliefs about their own abilities too little in response to feed-back, a phenomenon known as "conservatism", and some studies suggest that they overweight good relative to bad signals ("asymmetry"). We measure individual conservatism and asymmetry in three tasks...
Persistent link: https://www.econbiz.de/10011483816
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A flexible predictive density combination model for large financial data sets in regular and crisis periods
Casarin, Roberto; Ravazollo, Francesco; Grassi, Stefano; … - 2022
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10012816959
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A Bayesian dynamic compositional model for large density combinations in finance
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
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Bayes estimates of multimodal density features using DNA and Economic Data
Basturk, Nalan; Hoogerheide, Lennart; Dijk, Herman K. van - 2021
In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate accurately such data distributions. Shape and...
Persistent link: https://www.econbiz.de/10012431876
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A flexible predictive density combination for large financial data sets in regular and crisis periods
Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662
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Bayesian mode inference for discrete distributions in economics and finance
Cross, Jamie; Hoogerheide, Lennart; Labonne, Paul; … - 2023
Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically …
Persistent link: https://www.econbiz.de/10014313693