12 citations · 15 across the 3 of their papers we have counts for
4 papers · 1 filter
A Bayesian Dirichlet Auto-Regressive Conditional Heteroskedasticity Model for Forecasting Currency Shares
Harrison Katz, Robert E. Weiss
We analyze daily Airbnb service-fee shares across eleven settlement currencies, a compositional series that shows bursts of volatility after shocks such as the COVID-19 pandemic. S…
Sensitivity Analysis of Priors in the Bayesian Dirichlet Auto-Regressive Moving Average Model
Harrison Katz, Liz Medina, Robert E. Weiss
Prior choice can strongly influence Bayesian Dirichlet ARMA (B-DARMA) inference for compositional time-series. Using simulations with (i) correct lag order, (ii) overfitting, and (…
Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study
Harrison Katz, Robert E. Weiss
High-dimensional vector autoregressive (VAR) models offer a versatile framework for multivariate time series analysis, yet face critical challenges from over-parameterization and u…
A Bayesian Dirichlet Auto-Regressive Moving Average Model for Forecasting Lead Times
Harrison Katz, Kai Brusch, Robert E. Weiss
Lead time data is compositional data found frequently in the hospitality industry. Hospitality businesses earn fees each day, however these fees cannot be recognized until later. F…