The naive Bayes approach is one of the most popular methods used for classification. Nevertheless, how to test its statistical significance under an ultra-high-dimensional (UHD) setup is not well understood. To fill this important theoretical gap, we propose a novel testing statistic with a...

This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to describe the heavy tail property of the time series of financial asset returns, the innovation of the observation equation is assumed to have a Student-t distribution....

With the concept of trend inflation now widely understood as to be important as a measure of the public's perception of the inflation goal of the central bank and important to the accuracy of longer-term inflation forecasts, this paper uses Bayesian methods to assess alternative models of trend...

This paper considers multiple market agents who have distinct distributional opinions about the state price density. Different opinions can be contested on a hypothetical market that trades Arrow-Debreu securities. We focus on the situation when the agents are maximizing logarithmic utility as...

Mathematics is constructed on axioms. From a practical point of view, the axiomatic background of Bayesian Inference is enough as to use it with the great majority of applications, including engineering ones. From a formal point o view, in this teaching paper, Bayesian axioms are compared with...

In many problems, complex non-Gaussian and/or nonlinear models are required to accurately describe a physical system of interest. In such cases, Monte Carlo algorithms are remarkably flexible and extremely powerful approaches to solve such inference problems. However, in the presence of a...

In empirical economics and finance, inference is often based on previously-used data. We show that valid Bayesian inference is noninformative for previously-used data. Given the prevalence of previously-used data and the success of ``Bayesian" methods in empirical economics and finance, this is...

A 2017 paper by Harris argues that financial returns are a mixture distribution and that the dominant distribution is the truncated Cauchy distribution. Both the mixture nature and the poor properties of the truncated Cauchy distribution functionally exclude both the Frequentist and the...

mass 1 concentrated on the true process, provided that the prior probability measurehas full support and the true process is irreducible. Second, I extend this result to thecase in which k is unbounded (but finite), which requires that the Bayesian decisionmaker(DM) construct a prior on an...

We study how changes to the informativeness of signals in Bayesian games and single-agent decision problems affect the distribution of equilibrium actions. A more precise private signal about an unknown state of the world leads to an mean-preserving spread of an agent's beliefs. Focusing on...