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stat.ME2026
Infinite hidden Markov models for cylindrical data
Federico P. Cortese, Luca Rossini
We propose an infinite hidden Markov model for cylindrical time series with von Mises-Gamma emissions. Posterior inference is performed using a beam sampler combining conjugate upd…
stat.ME2024
Bayesian Partial Reduced-Rank Regression
Maria F. Pintado, Matteo Iacopini, Luca Rossini +1
Reduced-rank (RR) regression may be interpreted as a dimensionality reduction technique able to reveal complex relationships among the data parsimoniously. However, RR regression m…
stat.ME2024
Loss based prior for the degrees of freedom of the Wishart distribution
Luca Rossini, Cristiano Villa, Sotiris Prevenas +1
Motivated by the proliferation of extensive macroeconomic and health datasets necessitating accurate forecasts, a novel approach is introduced to address Vector Autoregressive (VAR…