Results 51 to 60 of about 936 (136)
, 2010 The normalized maximum likelihood (NML) is a recent penalized likelihood that has properties that justify defining the amount of discrimination information (DI) in the data supporting an alternative hypothesis over a null hypothesis as the logarithm of ...
Aitkin +34 more
core +1 more source
Introducing shrinkage in heavy-tailed state space models to predict equity excess returns
, 2019 We forecast S&P 500 excess returns using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparameterization via novel global-local shrinkage priors on the state innovation ...
Huber, Florian +2 more
core
Efficient Bayesian Interference for Stochastic Volatility [PDF]
, 2016 Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the ...
Kastner, Gregor
core
A Neural Stochastic Volatility Model
, 2018 In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time series analysis ...
Luo, Rui +3 more
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Forecasting Global Equity Indices Using Large Bayesian VARs [PDF]
, 2014 This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a dataset consisting of monthly data on global stock indices the BVAR model inherently incorporates co ...
Huber, Florian +2 more
core
Estimating Functions and Equations: An Essay on Historical Developments with Applications to Econometrics [PDF]
The idea of using estimating functions goes a long way back, at least to Karl Pearson's introduction to the method of moments in 1894. It is now a very active area of research in the statistics literature. One aim of this chapter is to provide an account
Anil K Bera +2 more
core
The case for formal methodology in scientific reform. [PDF]
R Soc Open Sci, 2021 Devezer B +3 more
europepmc +1 more source
A note on semiparametric efficient generalization of causal effects from randomized trials to target populations. [PDF]
Commun Stat Theory Methods, 2023 Li F, Hong H, Stuart EA.
europepmc +1 more source
An Ancillarity Paradox Which Appears in Multiple Linear Regression
The Annals of Statistics, 1990 Consider a multiple regression in which \(Y_ i\), \(i=1,...,n\), are independent normal variables with variance \(\sigma^ 2\) and E \(Y_ i=\alpha +V'_ i\beta\) where \(V_ i\in {\mathbb{R}}^ r\) and \(\beta \in {\mathbb{R}}^ r\). Let \({\hat \alpha}\) be the usual least squares estimator of \(\alpha\).
openaire +3 more sources