The partition problem: case studies in Bayesian screening for time-varying model structure

Statistics – Applications

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be general cases of the so-called "partition problem," where auxiliary information (in this case, time) defines a partition over sample space, and where different models hold for each element of the partition. In the first case study, we identify time-varying graphical structure in the covariance matrix of asset returns from major European equity indices from 2006--2010. This structure has important implications for quantifying the notion of financial contagion, a term often mentioned in the context of the European sovereign debt crisis of this period. In the second case study, we screen a large database of historical corporate performance in order to identify specific firms with impressively good (or bad) streaks of performance.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

The partition problem: case studies in Bayesian screening for time-varying model structure does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The partition problem: case studies in Bayesian screening for time-varying model structure, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The partition problem: case studies in Bayesian screening for time-varying model structure will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-329896

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.