Econometrics and Statistics最新文献_第8页

Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach 预测大型投资组合的风险价值和预期缺口：一种通用的动态因素模型方法

IF 1.9

Econometrics and Statistics Pub Date : 2023-07-01 DOI: 10.1016/j.ecosta.2021.04.006

Marc Hallin , Carlos Trucíos

引用次数: 0

Empirical Bayes Model Averaging with Influential Observations: Tuning Zellner’s g Prior for Predictive Robustness 具有影响观测的经验贝叶斯模型平均：调整Zellner g先验的预测鲁棒性

IF 1.9

Econometrics and Statistics Pub Date : 2023-07-01 DOI: 10.1016/j.ecosta.2021.12.003

Christopher M. Hans, Mario Peruggia, Junyan Wang

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引用次数: 0

Inner spike and slab Bayesian nonparametric models 内部尖峰和板贝叶斯非参数模型

IF 1.9

Econometrics and Statistics Pub Date : 2023-07-01 DOI: 10.1016/j.ecosta.2021.10.017

Antonio Canale , Antonio Lijoi , Bernardo Nipoti , Igor Prünster

{"title":"Inner spike and slab Bayesian nonparametric models","authors":"Antonio Canale , Antonio Lijoi , Bernardo Nipoti , Igor Prünster","doi":"10.1016/j.ecosta.2021.10.017","DOIUrl":"https://doi.org/10.1016/j.ecosta.2021.10.017","url":null,"abstract":"<div>Discrete Bayesian nonparametric models whose expectation is a convex linear combination of a point mass at some point of the support and a diffuse probability distribution allow to incorporate strong prior information, while still being extremely flexible. Recent contributions in the statistical literature have successfully implemented such a modelling strategy in a variety of applications, including density estimation, nonparametric regression and model-based clustering. A thorough study is presented on a large class of nonparametric models, named inner spike and slab hNRMI models and obtained by considering homogeneous normalized random measures with independent increments (hNRMI) with base measure given by a convex linear combination of a point mass and a diffuse probability distribution. In turn, the distributional properties of these models are investigated, with focus on: i) the exchangeable partition probability function they induce, ii) the distribution of the number of distinct values in an exchangeable sample, iii) the posterior predictive distribution, and iv) the distribution of the number of elements that coincide with the only point of the support with positive probability. These theoretical findings represent the main building block for an actual implementation of Bayesian inner spike and slab hNRMI models by means of a generalized Pólya urn scheme.</div>","PeriodicalId":54125,"journal":{"name":"Econometrics and Statistics","volume":"27 ","pages":"Pages 120-135"},"PeriodicalIF":1.9,"publicationDate":"2023-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50178661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2

Fluctuation-type monitoring test for explosive behavior 波动式爆炸性能监测试验

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.06.007

Eiji Kurozumi

引用次数: 1

Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors 内源性回归因子的时变大型异质性面板的平均组工具变量估计

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.06.004

Yu Bai, Massimiliano Marcellino, G. Kapetanios

引用次数: 0

On the distribution-freeness of a test of angular symmetry based on halfspace depth 基于半空间深度的角对称检验的分布自由性

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.06.003

A. Dürre, D. Paindaveine

引用次数: 0

Normality testing after outlier removal 去除异常值后的正态性检验

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.06.001

Vanessa Berenguer-Rico, Bent Nielsen

引用次数: 0

Robust logistic regression for ordered and unordered responses 有序和无序响应的鲁棒逻辑回归

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.05.004

M. Iannario, Anna Clara Monti

引用次数: 0

A Robust Quantitative Risk Screening for Subgroup Pursuit in Clinical Trials 临床试验中亚组追求的可靠定量风险筛选

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.05.002

Xinzhou Guo, Ruosha Li, Jianjun Zhou, Xuming He

引用次数: 0

Robust Fixed-b Inference in the Presence of Time-Varying Volatility 时变波动存在下的鲁棒Fixed-b推理

IF 1.9

Econometrics and Statistics Pub Date : 2023-06-01 DOI: 10.1016/j.ecosta.2023.05.003

M. Demetrescu, C. Hanck, Robinson Kruse-Becher

引用次数: 1