2 papers
stat.ME2025
Bayesian Models for Joint Selection of Features and Auto-Regressive Lags: Theory and Applications in Environmental and Financial Forecasting
Alokesh Manna, Sujit K. Ghosh
We develop a Bayesian framework for variable selection in linear regression with autocorrelated errors, accommodating lagged covariates and autoregressive structures. This setting…
q-fin.PM2025
Semiparametric Dynamic Copula Models for Portfolio Optimization
Savita Pareek, Sujit K. Ghosh
The mean-variance portfolio model, based on the risk-return trade-off for optimal asset allocation, remains foundational in portfolio optimization. However, its reliance on restric…