Showing 1 - 10 of 43
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...
Persistent link: https://www.econbiz.de/10011505836
(GLMs) with gamma-distributed responses estimated using the Bayesian approach coupled with the Markov Chain Monte Carlo … the Bayesian-MCMC method is carried out using the Gibbs sampler algorithm. The performance of proposed model is conducted … for the observed data. The predictive accuracy of this model is compared with other Bayesian models using the widely …
Persistent link: https://www.econbiz.de/10013533212
This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications,...
Persistent link: https://www.econbiz.de/10010237107
We put forward a brand choice model with unobserved heterogeneity that concerns responsiveness to marketing efforts. We introduce two latent segments of households. The first segment is assumed to respond to marketing efforts, while households in the second segment do not do so. Whether a...
Persistent link: https://www.econbiz.de/10010336207
Persistent link: https://www.econbiz.de/10011504585
better suited to interpretation of results using both Bayesian and maximum likelihood methods and to expression of a … substantive prior distribution using Bayesian methods. The paper demonstrates how to approach both problems using the sequentially … adaptive Bayesian learning algorithm and sequentially adaptive Bayesian learning algorithm (SABL) software, which eliminates …
Persistent link: https://www.econbiz.de/10011504629
Sequential Monte Carlo (SMC) methods are widely used for non-linear filtering purposes. However, the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov-Chain Monte-Carlo (MCMC) methods. Not only do SMC...
Persistent link: https://www.econbiz.de/10011504888
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011505854
Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and …
Persistent link: https://www.econbiz.de/10011505885
. This paper applies a Bayesian beta mixture model to derive a combined and calibrated density function using random … logarithmic pooling in the Bayesian combination approach. The three combination schemes, i.e., linear, harmonic and logarithmic …
Persistent link: https://www.econbiz.de/10011505901