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Particle Learning for Fat-tailed DistributionsNick PolsonChicago, USAWe develop a sequential Monte Carlo method known as particle learning (PL) for fat-tailed errordistributions. Fat-tails are a common feature of many economic and financial time series and can beincorporated into state space models with a number of other features such as stochastic volatility. Anatural framework to address fat-tails is in the class of scale mixtures of normals. By doing so this createsa conditionally dynamic Gaussian model resulting in a mixture Kalman filter model. In particular, wefocus on learning the tail behavior of the time series by assuming that the errors follow a t ν -distributionwhere the researcher sequential computes the posterior distribution of the tail thickness p(ν|y t ) as newdata arrives. This framework is flexible enough to entertain infinite variance Cauchy errors on the onehand (ν = 1) to standard Gaussian errors (ν = ∞). Finally, we show how a variant of the Dickey-Savagedensity ratio can be used to calculate a sequential Bayes factor of a fat-tailed error versus the normal.Comparisons are made to standard Monte Carlo and MCMC approaches and approximate inferences forlatent Gaussian processes. This is joint work with Hedibert F. Lopes.19
Bayesian Non-Parametric Inference for Diffusion ProcessesGareth RobertsUniversity of Warwick, United KingdomThis talk will consider Bayesian inference for diffusions in a non-parametric framework. The presentationwill consider both a complete treatment for continuous data and goes on to consider the case ofdiscretely observed data. The work is motivated by problems from molecular dynamics and is illustratedby simple examples usng molecular dynamics data.20
Page 4 and 5: 10 o Encontro Brasileiro de Estatí
Page 9 and 10: Particle LearningCarlos M. Carvalho
Page 12 and 13: Uso de Métodos Bayesianos em Anál
Page 15 and 16: Bayesian Inference for Aggregated F
Page 17 and 18: Product Partition Models with Corre
Page 19: “Objective Bayes” - A Dangerous
Page 23 and 24: Bayesian Computing with INLAHåvard
Page 27 and 28: Bayesian Inference for a Skew-Norma
Page 29 and 30: Bayesian Coalescent Modeling of the
Page 31 and 32: Partitioning Diversity Measure for
Page 33 and 34: Exact Simulation and Bayesian Infer
Page 35 and 36: Spatially Varying Autoregressive Pr
Page 37 and 38: Bayesian Beta Dynamic Model and App
Page 51 and 52: Generalized Exponential Distributio
Page 53 and 54: Análise Bayesiana da Priori Jeffer
Page 55 and 56: Neighborhood Dependence in Bayesian
Page 57 and 58: Aplicação do Algoritmo MCMC de Sa
Page 59 and 60: Decisões de Investimento e Restri
Page 61 and 62: Test for Symmetry in Contingency Ta
Page 63 and 64: Aplicações de Inferência Bayesia
Page 65 and 66: Uma Abordagem Bayesiana do Modelo M
Page 67 and 68: Accounting for Latent Spatio-Tempor
Page 69 and 70: Uma Abordagem Bayesiana para Proces
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A Bayesian Analysis for the General
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Comparação de um Modelo Dinâmico
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Estimando Variações de Temperatur
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A Bayesian Approach to Multivariate
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Bayesian Inference for Gamma Modula
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Computational Tools for Comparing A
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Modelo Partição Produto com “Cl
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BIC Criterion for Minimal Markov Mo
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Estimadores Lineares Bayesianos em
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Modelos de Volatilidade Estocástic
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Processo de Difusão Multivariado c
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Generalized Latent Factor Models fo
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Measuring Vulnerability via Spatial
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Medidas do Valor Preditivo de um Mo
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Aproximações Analíticas para Pos
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Modelo de Risco Logístico Dependen
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A Practical Approach to Elicit Mult
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Modelos Dinâmicos para Deformaçã
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A Semiparametric Bayesian Approach
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Modelo Weibull Modificado de Longa
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Abordagem Bayesiana para Modelos GA
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Modelo Bayesiano Geral de Classe La
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Métodos de Estimação em Modelos
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LASSO Bayesiano no Mapeamento de QT
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Estudo das Matrizes de Covariância
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Sensibilidade da Inferência Bayesi
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Análise Bayesiana para o Estudo de
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Uma Abordagem Bayesiana para Modelo
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Construção de Tábuas de Mortalid
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Um Procedimento Bayesiano para a An
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Um Novo Modelo para Dependência Es
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Distribuição Geométrica Exponenc
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Morbidade Pulmonar e Condições Cl
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Standard Setting for a Rasch Poisso
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Modelo Logístico Misto com Classes
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Metodologia Bayesiana para Detecç
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Modelos Espaço-Temporais para Dado
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Comparação de Modelos para a Iden
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Modelos Multivariados de Regressão
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Estimação Bayesiana em Modelos de
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Previsão de Resultados de Jogos de
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Uma Abordagem Bayesiana para Modelo
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Análise Bayesiana do Modelo Log-Bi
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Desempate TécnicoFilipe Jaeger Zab
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10 o Encontro Brasileiro de Estatí
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