1k citations · 1.6k across the 56 of their papers we have counts for
7 papers · 1 filter
Bayesian Approaches to Copula Modelling
Michael Stanley Smith
Copula models have become one of the most widely used tools in the applied modelling of multivariate data. Similarly, Bayesian methods are increasingly used to obtain efficient lik…
Analyzing Risky Choices: Q-Learning for Deal-No Deal
Laszlo Korsos, Nicholas G. Polson
We derive an optimal strategy in the popular Deal or No Deal game show. Q-learning quantifies the continuation value inherent in sequential decision making and we use this to analy…
An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility
Nicholas G. Polson, James G. Scott
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gau…
Default Bayesian analysis for multi-way tables: a data-augmentation approach
Nicholas G. Polson, James G. Scott
This paper proposes a strategy for regularized estimation in multi-way contingency tables, which are common in meta-analyses and multi-center clinical trials. Our approach is based…
The Bayesian Bridge
Nicholas G. Polson, James G. Scott, Jesse Windle
We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mix…
On the half-Cauchy prior for a global scale parameter
Nicholas G. Polson, James G. Scott
This paper argues that the half-Cauchy distribution should replace the inverse-Gamma distribution as a default prior for a top-level scale parameter in Bayesian hierarchical models…