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stat.CO2021
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…
stat.ME2021
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…