5 citations · 8 across the 11 of their papers we have counts for
17 papers
Conjugating Variational Inference for Large Mixed Multinomial Logit Models and Consumer Choice
Weiben Zhang, Ruben Loaiza-Maya, Michael Stanley Smith +1
Heterogeneity in multinomial choice data is often accounted for using logit models with random coefficients. Such models are called "mixed", but they can be difficult to estimate f…
Bayesian probabilistic projections of proportions with limited data: An application to subnational contraceptive method supply shares
Hannah Comiskey, Niamh Cahill, Leontine Alkema +2
Engaging the private sector in contraceptive method supply is critical for creating equitable, sustainable, and accessible healthcare systems. To achieve this, it is essential to u…
A New Perspective of the Meese-Rogoff Puzzle: Application of Sparse Dynamic Shrinkage
Zheng Fan, Worapree Maneesoonthorn, Yong Song
We propose the Markov Switching Dynamic Shrinkage process (MSDSP), nesting the Dynamic Shrinkage Process (DSP) of Kowal et al. (2019). We revisit the Meese-Rogoff puzzle (Meese and…
A Tractable Unified Skew-t Distribution and Its Copula for Heterogeneous Asymmetries
Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn
Multivariate distributions that allow for asymmetry and heavy tails are important building blocks in many econometric and statistical models. The Unified Skew-t (UST) is a promisin…
Probabilistic Predictions of Option Prices with Modular Approximate Bayesian Inference
Worapree Maneesoonthorn, David T. Frazier, Gael M. Martin
A new approximate Bayesian inferential framework is proposed that exploits multiple information sources -- daily spot returns, high-frequency spot data and option prices -- and ena…
Large Skew-t Copula Models and Asymmetric Dependence in Intraday Equity Returns
Lin Deng, Michael Stanley Smith, Worapree Maneesoonthorn
Skew-t copula models are attractive for the modeling of financial data because they allow for asymmetric and extreme tail dependence. We show that the copula implicit in the skew-t…