3 papers
stat.ME2019
A Symmetric Prior for Multinomial Probit Models
Lane F. Burgette, David Puelz, P. Richard Hahn
Fitted probabilities from widely used Bayesian multinomial probit models can depend strongly on the choice of a base category, which is used to uniquely identify the parameters of…
q-fin.PM2017
Regret-based Selection for Sparse Dynamic Portfolios
David Puelz, P. Richard Hahn, Carlos Carvalho
This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We d…
stat.ME2016
Variable Selection in Seemingly Unrelated Regressions with Random Predictors
David Puelz, P. Richard Hahn, Carlos Carvalho
This paper considers linear model selection when the response is vector-valued and the predictors are randomly observed. We propose a new approach that decouples statistical infere…