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Exploiting big data in logistics risk assessment via Bayesian nonparametrics
Shang, Yan; Dunson, David B.; Song, Jing-Sheng - In: Operations research 65 (2017) 6, pp. 1574-1588
Persistent link: https://www.econbiz.de/10011777806
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Bayesian Analysis of Big Data in Insurance Predictive Modeling Using Distributed Computing
Zhang, Yanwei - 2017
While Bayesian methods have attracted considerable interest in actuarial science, they are yet to be embraced in large-scaled insurance predictive modeling applications, due to inefficiencies of Bayesian estimation procedures. The paper presents an efficient method that parallelizes Bayesian...
Persistent link: https://www.econbiz.de/10012951368
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Testing big data in a big crisis : nowcasting under COVID-19
Barbaglia, Luca; Frattarolo, Lorenzo; Onorante, Luca; … - 2022
During the COVID-19 pandemic, economists have struggled to obtain reliable economic predictions, with standard models becoming outdated and their forecasting performance deteriorating rapidly. This paper presents two novelties that could be adopted by forecasting institutions in unconventional...
Persistent link: https://www.econbiz.de/10013349370
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Bayesian Nonparametric Conditional Copula Estimation of Twin Data
Dalla Valle, Luciana - 2017
Several studies on heritability in twins aim at understanding the different contribution of environmental and genetic factors to specific traits. Considering the National Merit Twin Study, our purpose is to correctly analyse the influence of the socioeconomic status on the relationship between...
Persistent link: https://www.econbiz.de/10012969727
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Nonparametric Bayesian Estimation of a Hölder Continuous Diffusion Coefficient
Gugushvili, Shota; van der Meulen, Frank; Schauer, Moritz; … - 2020
We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a histogram-type prior with piecewise constant realisations on...
Persistent link: https://www.econbiz.de/10014117474
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Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management : Managing Risk for Hedge Funds
Malhotra, Yogesh - 2023
In the aftermath of the Global Financial Crisis, some risk management practitioners have advocated wider adoption of … Bayesian inference to replace Value- at-Risk (VaR) models in order to minimize risk failures. Despite its limitations, the … [increasingly] Bayesian—continues to be a key methodological foundation of risk management and regulation-related risk modeling …
Persistent link: https://www.econbiz.de/10014263882
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Risk, return, and volatility feedback : a Bayesian nonparametric analysis
Jensen, Mark J.; Maheu, John M. - 2014
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …
Persistent link: https://www.econbiz.de/10010365633
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Variable selection and functional form uncertainty in cross-country growth regressions
Salimans, Tim - 2011
Regression analyses of cross-country economic growth data are complicated by two main forms of model uncertainty: the uncertainty in selecting explanatory variables and the uncertainty in specifying the functional form of the regression function. Most discussions in the literature address these...
Persistent link: https://www.econbiz.de/10011382708
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Risk, Return, and Volatility Feedback : A Bayesian Nonparametric Analysis
Jensen, Mark J. - 2015
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …
Persistent link: https://www.econbiz.de/10013026110
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Dynamics of musical success : a machine learning approach for multimedia data fusion
Boughanmi, Khaled; Ansari, Asim - In: Journal of marketing research 58 (2021) 6, pp. 1034-1057
Persistent link: https://www.econbiz.de/10012794305