4 papers
Discussion on "Random-projection ensemble classification" by T. Cannings and R. Samworth
Roberto Casarin, Lorenzo Frattarolo, Luca Rossini
Discussion on "Random-projection ensemble classification" by T. Cannings and R. Samworth. We believe that the proposed approach can find many applications in economics such as cred…
Discussion on "Sparse graphs using exchangeable random measures" by F. Caron and E. B. Fox
Roberto Casarin, Matteo Iacopini, Luca Rossini
Discussion on "Sparse graphs using exchangeable random measures" by F. Caron and E. B. Fox. In this discussion we contribute to the analysis of the GGP model as compared to the Erd…
Efficient Gibbs Sampling for Markov Switching GARCH Models
Monica Billio, Roberto Casarin, Anthony Osuntuyi
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-…
Online data processing: comparison of Bayesian regularized particle filters
Roberto Casarin, Jean-Michel Marin
The aim of this paper is to compare three regularized particle filters in an online data processing context. We carry out the comparison in terms of hidden states filtering and par…