4 citations · 4 across the 6 of their papers we have counts for
5 papers · 1 filter
Bayesian nonparametric panel Markov-switching GARCH models
Roberto Casarin, Mauro Costantini, Anthony Osuntuyi
This paper introduces a new model for panel data with Markov-switching GARCH effects. The model incorporates a series-specific hidden Markov chain process that drives the GARCH par…
Generalized Poisson Difference Autoregressive Processes
Giulia Carallo, Roberto Casarin, Christian P. Robert
This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregress…
Hierarchical Species Sampling Models
Federico Bassetti, Roberto Casarin, Luca Rossini
This paper introduces a general class of hierarchical nonparametric prior distributions. The random probability measures are constructed by a hierarchy of generalized species sampl…
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…