52 citations · 99 across the 10 of their papers we have counts for
8 papers · 1 filter
Inference and forecasting for continuous-time integer-valued trawl processes
Mikkel Bennedsen, Asger Lunde, Neil Shephard +1
This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of i…
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.…
Panel Experiments and Dynamic Causal Effects: A Finite Population Perspective
Iavor Bojinov, Ashesh Rambachan, Neil Shephard
In panel experiments, we randomly assign units to different interventions, measuring their outcomes, and repeating the procedure in several periods. Using the potential outcomes fr…
Time series experiments and causal estimands: exact randomization tests and trading
Iavor Bojinov, Neil Shephard
We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of som…
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…
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…
Moment conditions and Bayesian nonparametrics
Luke Bornn, Neil Shephard, Reza Solgi
Models phrased though moment conditions are central to much of modern inference. Here these moment conditions are embedded within a nonparametric Bayesian setup. Handling such a mo…
Likelihood inference for exponential-trawl processes
Neil Shephard, Justin J. Yang
Integer-valued trawl processes are a class of serially correlated, stationary and infinitely divisible processes that Ole E. Barndorff-Nielsen has been working on in recent years.…