27 citations · 74 across the 13 of their papers we have counts for
3 papers · 1 filter
Approximate Bayesian Forecasting
David T. Frazier, Worapree Maneesoonthorn, Gael M. Martin +1
Approximate Bayesian Computation (ABC) has become increasingly prominent as a method for conducting parameter inference in a range of challenging statistical problems, most notably…
Construction and Visualization of Optimal Confidence Sets for Frequentist Distributional Forecasts
David Harris, Gael M. Martin, Indeewara Perera +1
The focus of this paper is on the quantification of sampling variation in frequentist probabilistic forecasts. We propose a method of constructing confidence sets that respects the…
High-Frequency Jump Tests: Which Test Should We Use?
Worapree Maneesoonthorn, Gael M. Martin, Catherine S. Forbes
We conduct an extensive evaluation of price jump tests based on high-frequency financial data. After providing a concise review of multiple alternative tests, we document the size…