3 papers
stat.ME2026
A Bayesian Dirichlet Auto-Regressive Conditional Heteroskedasticity Model for Forecasting Currency Shares
Harrison Katz, Robert E. Weiss
We analyze daily Airbnb service-fee shares across eleven settlement currencies, a compositional series that shows bursts of volatility after shocks such as the COVID-19 pandemic. S…
stat.ME2026
Bayesian Shrinkage in High-Dimensional VAR Models: A Comparative Study
Harrison Katz, Robert E. Weiss
High-dimensional vector autoregressive (VAR) models offer a versatile framework for multivariate time series analysis, yet face critical challenges from over-parameterization and u…
stat.ME2025
Sensitivity Analysis of Priors in the Bayesian Dirichlet Auto-Regressive Moving Average Model
Harrison Katz, Liz Medina, Robert E. Weiss
Prior choice can strongly influence Bayesian Dirichlet ARMA (B-DARMA) inference for compositional time-series. Using simulations with (i) correct lag order, (ii) overfitting, and (…