6 papers
A Bayesian Semiparametric Vector Multiplicative Error Model
Nicola Donelli, Stefano Peluso, Antonietta Mira
Interactions among multiple time series of positive random variables are crucial in diverse financial applications, from spillover effects to volatility interdependence. A popular…
Equivalence class selection of categorical graphical models
Federico Castelletti, Stefano Peluso
Learning the structure of dependence relations between variables is a pervasive issue in the statistical literature. A directed acyclic graph (DAG) can represent a set of condition…
Conditionally Gaussian Random Sequences for an Integrated Variance Estimator with Correlation between Noise and Returns
Stefano Peluso, Antonietta Mira, Pietro Muliere
Correlation between microstructure noise and latent financial logarithmic returns is an empirically relevant phenomenon with sound theoretical justification. With few notable excep…
The semi-Markov beta-Stacy process: a Bayesian non-parametric prior for semi-Markov processes
Andrea Arfè, Stefano Peluso, Pietro Muliere
The literature on Bayesian methods for the analysis of discrete-time semi-Markov processes is sparse. In this paper, we introduce the semi-Markov beta-Stacy process, a stochastic p…
Reinforced urns and the subdistribution beta-Stacy process prior for competing risks analysis
Andrea Arfé, Stefano Peluso, Pietro Muliere
In this paper we introduce the subdistribution beta-Stacy process, a novel Bayesian nonparametric process prior for subdistribution functions useful for the analysis of competing r…
Marginal models with individual-specific effects for the analysis of longitudinal bipartite networks
Francesco Bartolucci, Antonietta Mira, Stefano Peluso
A new modeling framework for bipartite social networks arising from a sequence of partially time-ordered relational events is proposed. We directly model the joint distribution of…