Business Analytics Working Paper Series: Recent submissions
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Speeding up MCMC by Efficient Data Subsampling
Published 2016-01-01We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for n observations is estimated from a random subset of m observations. We introduce a general and highly efficient ...Open AccessPre-print -
Matrix Neural Networks
Published 2016-11-02Traditional neural networks assume vectorial inputs as the network is arranged as layers of single line of computing units called neurons. This special structure requires the non-vectorial inputs such as matrices to be ...Open AccessWorking Paper -
Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem
Published 2016-04-16We formulate the problem of finding and estimating the optimal hierarchical Archimedean copula as an amended shortest path problem. The standard network flow problem is amended by certain constraints specific to copulas, ...Open AccessWorking Paper -
Efficient estimation of parameters in marginal in semiparametric multivariate models
Published 2016-03-01We consider a general multivariate model where univariate marginal distributions are known up to a common parameter vector and we are interested in estimating that vector without assuming anything about the joint distribution, ...Open AccessWorking Paper -
Fast Inference for Intractable Likelihood Problems using Variational Bayes
Published 2016-03-30Variational Bayes (VB) is a popular statistical method for Bayesian inference. The existing VB algorithms are restricted to cases where the likelihood is tractable, which precludes their use in many interesting models. ...Open AccessWorking Paper