3 papers
stat.ME2018
Factor graph fragmentization of expectation propagation
Wilson Y. Chen, Matt P. Wand
Expectation propagation is a general approach to fast approximate inference for graphical models. The existing literature treats models separately when it comes to deriving and cod…
stat.ME2017
Semiparametric GARCH via Bayesian model averaging
Wilson Ye Chen, Richard H. Gerlach
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assum…
q-fin.RM2016
Estimating Quantile Families of Loss Distributions for Non-Life Insurance Modelling via L-moments
Gareth W. Peters, Wilson Y. Chen, Richard H. Gerlach
This paper discusses different classes of loss models in non-life insurance settings. It then overviews the class Tukey transform loss models that have not yet been widely consider…