20 citations · 38 across the 4 of their papers we have counts for
6 papers
Bayesian Dynamic Gamma Models for Route-Level Travel Time Reliability
Vadim Sokolov, Refik Soyer
Route-level travel time reliability requires characterizing the distribution of total travel time across correlated segments -- a problem where existing methods either assume indep…
A Bayesian approach to modeling mortgage default and prepayment
Arnab Bhattacharya, Simon P. Wilson, Refik Soyer
In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Marko…
From Least Squares to Signal Processing and Particle Filtering
Nozer D. Singpurwalla, Nicholas G. Polson, Refik Soyer
De Facto, signal processing is the interpolation and extrapolation of a sequence of observations viewed as a realization of a stochastic process. Its role in applied statistics ran…
Sequential Bayesian Analysis of Multivariate Count Data
Tevfik Aktekin, Nicholas G. Polson, Refik Soyer
We develop a new class of dynamic multivariate Poisson count models that allow for fast online updating and we refer to these models as multivariate Poisson-scaled beta (MPSB). The…
Assessment of mortgage default risk via Bayesian state space models
Tevfik Aktekin, Refik Soyer, Feng Xu
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian stat…
On the Sample Information About Parameter and Prediction
Nader Ebrahimi, Ehsan S. Soofi, Refik Soyer
The Bayesian measure of sample information about the parameter, known as Lindley's measure, is widely used in various problems such as developing prior distributions, models for th…