Publications [#257841] of David B. Dunson
search arxiv.org.Papers Published
- Durante, D; Dunson, DB. "Bayesian dynamic financial networks with time-varying predictors." Statistics and Probability Letters 93 (January, 2014): 19-26. [doi]
(last updated on 2024/04/19)Abstract:
We propose a targeted and robust modeling of dependence in multivariate time series via dynamic networks, with time-varying predictors included to improve interpretation and prediction. The model is applied to financial markets, estimating effects of verbal and material cooperations. © 2014 Elsevier B.V.