23 citations · 38 across the 18 of their papers we have counts for
10 papers · 1 filter
A Spatiotemporal Gamma Shot Noise Cox Process
Federico Bassetti, Roberto Casarin, Matteo Iacopini +1
A new discrete-time shot noise Cox process for spatiotemporal data is proposed. The random intensity is driven by a dependent sequence of latent gamma random measures. Some propert…
First-order integer-valued autoregressive processes with Generalized Katz innovations
Ovielt Baltodano Lopez, Federico Bassetti, Giulia Carallo +1
A new integer--valued autoregressive process (INAR) with Generalised Lagrangian Katz (GLK) innovations is defined. This process family provides a flexible modelling framework for c…
Living on the Edge: An Unified Approach to Antithetic Sampling
Roberto Casarin, Radu V. Craiu, Lorenzo Frattarolo +1
We identify recurrent ingredients in the antithetic sampling literature leading to a unified sampling framework. We introduce a new class of antithetic schemes that includes the mo…
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…
Bayesian Markov Switching Tensor Regression for Time-varying Networks
Monica Billio, Roberto Casarin, Matteo Iacopini
We propose a new Bayesian Markov switching regression model for multidimensional arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time-varyin…
Bayesian Dynamic Tensor Regression
Monica Billio, Roberto Casarin, Matteo Iacopini +1
Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response…
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…