4 citations · 7 across the 3 of their papers we have counts for
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stat.ME2020★ 2 cited
An estimator for predictive regression: reliable inference for financial economics
Neil Shephard
Estimating linear regression using least squares and reporting robust standard errors is very common in financial economics, and indeed, much of the social sciences and elsewhere.…
stat.ME2017★ 1 cited
A Nonparametric Bayesian Approach to Copula Estimation
Shaoyang Ning, Neil Shephard
We propose a novel Dirichlet-based Pólya tree (D-P tree) prior on the copula and based on the D-P tree prior, a nonparametric Bayesian inference procedure. Through theoretical anal…
stat.ME2016
Nonparametric hierarchical Bayesian quantiles
Luke Bornn, Neil Shephard, Reza Solgi
Here we develop a method for performing nonparametric Bayesian inference on quantiles. Relying on geometric measure theory and employing a Hausdorff base measure, we are able to sp…