Business Analytics Working Paper Series: Recent submissions
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Higher Moment Constraints for Predictive Density Combinations
Published 2019-03-19The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...Open AccessWorking Paper -
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 AccessWorking paper -
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