2 papers
stat.ME2025
Dynamic Bayesian Networks with Conditional Dynamics in Edge Addition and Deletion
Lupe S. H. Chan, Amanda M. Y. Chu, Mike K. P. So
This study presents a dynamic Bayesian network framework that facilitates intuitive gradual edge changes. We use two conditional dynamics to model the edge addition and deletion, a…
stat.ME2024
Graphical copula GARCH modeling with dynamic conditional dependence
Lupe Shun Hin Chan, Amanda Man Ying Chu, Mike Ka Pui So
Modeling returns on large portfolios is a challenging problem as the number of parameters in the covariance matrix grows as the square of the size of the portfolio. Traditional cor…