Archive for Venezia

over the Alps [jatp]

Posted in Mountains, pictures, Travel with tags , , , , , , , , , on March 31, 2019 by xi'an

bentornato a Venezia!

Posted in Mountains, pictures, Running, Travel, University life with tags , , , , , , , on March 27, 2019 by xi'an

Roberto Casarin’s talk at CREST tomorrow

Posted in Statistics with tags , , , , , , , , , , , on March 13, 2019 by xi'an

My former student and friend Roberto Casarin (University Ca’Foscari, Venice) will talk tomorrow at the CREST Financial Econometrics seminar on

“Bayesian Markov Switching Tensor Regression for Time-varying Networks”

Time: 10:30
Date: 14 March 2019
Place: Room 3001, ENSAE, Université Paris-Saclay

Abstract : We propose a new Bayesian Markov switching regression model for multi-dimensional arrays (tensors) of binary time series. We assume a zero-inflated logit dynamics with time-varying parameters and apply it to multi-layer temporal networks. The original contribution is threefold. First, in order to avoid over-fitting we propose a parsimonious parameterisation of the model, based on a low-rank decomposition of the tensor of regression coefficients. Second, the parameters of the tensor model are driven by a hidden Markov chain, thus allowing for structural changes. The regimes are identified through prior constraints on the mixing probability of the zero-inflated model. Finally, we model the jointly dynamics of the network and of a set of variables of interest. We follow a Bayesian approach to inference, exploiting the Pólya-Gamma data augmentation scheme for logit models in order to provide an efficient Gibbs sampler for posterior approximation. We show the effectiveness of the sampler on simulated datasets of medium-big sizes, finally we apply the methodology to a real dataset of financial networks.

ISBA World meetings to come

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , on January 27, 2019 by xi'an

June 2020: Kumming, Yunnan, China

June 2022: Montréal, Québec, Canada

June 2024: Venezia, Veneto, Italy

advances in Bayesian modelling a Venezia

Posted in Statistics with tags , , , , , , , , , on July 4, 2018 by xi'an

snapshot from Venezia #3 [jatp]

Posted in Statistics with tags , , , , , , , on May 6, 2018 by xi'an

snapshot from Venezia #2 [jatp]

Posted in Kids, pictures, Travel with tags , , , , , , , , on May 5, 2018 by xi'an