23 citations · 38 across the 18 of their papers we have counts for
5 papers · 1 filter
Bayesian Dynamic Quantile Model Averaging
Mauro Bernardi, Roberto Casarin, Bertrand Maillet +1
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we…
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-…
Beta-Product Poisson-Dirichlet Processes
Federico Bassetti, Roberto Casarin, Fabrizio Leisen
Time series data may exhibit clustering over time and, in a multiple time series context, the clustering behavior may differ across the series. This paper is motivated by the Bayes…
Bayesian Model Selection for Beta Autoregressive Processes
R. Casarin, L. Dalla Valle, F. Leisen
We deal with Bayesian inference for Beta autoregressive processes. We restrict our attention to the class of conditionally linear processes. These processes are particularly suitab…
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…