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08/10/2023
Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns
Large skew-t factor copula models are attractive for the modeling of fin...
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03/03/2023
Optimal probabilistic forecasts for risk management
This paper explores the implications of producing forecast distributions...
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02/27/2023
Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models
Stochastic models with global parameters θ and latent variables z are co...
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12/07/2022
Bayesian Forecasting in the 21st Century: A Modern Review
The Bayesian statistical paradigm provides a principled and coherent app...
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12/23/2021
ABC of the Future
Approximate Bayesian computation (ABC) has advanced in two decades from ...
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09/21/2020
Optimal probabilistic forecasts: When do they work?
Proper scoring rules are used to assess the out-of-sample accuracy of pr...
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12/20/2017