120 citations · 192 across the 12 of their papers we have counts for
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stat.ME2019
Data Augementation with Polya Inverse Gamma
Jingyu He, Nicholas G. Polson, Jianeng Xu
We use the theory of normal variance-mean mixtures to derive a data augmentation scheme for models that include gamma functions. Our methodology applies to many situations in stati…
econ.EM2019★ 1 cited
Factor Investing: A Bayesian Hierarchical Approach
Guanhao Feng, Jingyu He
This paper investigates asset allocation problems when returns are predictable. We introduce a market-timing Bayesian hierarchical (BH) approach that adopts heterogeneous time-vary…