[CvGmt News] Avviso NO FREE LUNCH SEMINAR- Seminario di Finanza Quantitativa, prof. Roberto Casarin, (02.07.15)

Michele Verde michele.verde at sns.it
Tue Jun 30 09:27:38 CEST 2015


NO FREE LUNCH SEMINAR



Seminario di Finanza Quantitativa


giovedì 2 luglio 2015

ore 13:00



*Scuola Normale Superiore*

Pisa

(Aula Bianchi)



*Roberto Casarin*

*Department of Economics - Università Ca' Foscari di Venezia*



Terrà  un seminario dal titolo:



*“Bayesian Nonparametric Calibration and Combination of Predictive
Distributions”*



*Abstract*



*We introduce a Bayesian approach to predictive density calibration and
combination that accounts for parameter uncertainty and model set
incompleteness through the use of random calibration functionals and random
combination weights. Building on the work of Ranjan and Gneiting (2010) and
Gneiting and Ranjan (2013), we use infinite beta mixtures for the
calibration. The proposed Bayesian nonparametric approach takes advantage
of the flexibility of Dirichlet process mixtures to achieve any continuous
deformation of linearly combined predictive distributions. The inference
procedure is based on Gibbs sampling and allows accounting for uncertainty
in the number of mixture components, mixture weights, and calibration
parameters. The weak posterior consistency of the Bayesian nonparametric
calibration is provided under suitable conditions for unknown true density.
We study the methodology in simulation examples with fat tails and
multimodal densities and apply it to density forecasts of daily S&P returns
and daily maximum wind speed at the Frankfurt airport. **Joint work with
Federico Bassetti and Francesco Ravazzolo.*



Tutti gli interessati sono invitati a partecipare.



                                                                     Classe
di Scienze

                                                                Matematiche
e Naturali

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Michele VERDE
Scuola Normale Superiore

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Piazza Dei Cavalieri, 7
I - 56126 Pisa

Tel. 050-509048
E-Mail: michele.verde at sns.it
E-Mail: classi at sns.it
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