[Forum SIS] Seminario Prof. Casarin 13 novembre ore 11,30

[Dip. Scienze Statistiche - Mi]

Il Dipartimento di Scienze Statistiche dell'Università Cattolica del Sacro Cuore ha organizzato un seminario, presentato dal Prof. Roberto Casarin, Università Ca' Foscari di Venezia, dal titolo:


Bayesian Nonparametric Calibration and Combination of Predictive Distributions
(joint with F. Bassetti and F. Ravazzolo)



Venerdì 13 Novembre dalle ore 11,30

in Aula G 253



Università Cattolica del Sacro Cuore - Milano

Largo Gemelli,1 - Edificio Lanzone 18

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. 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 weak posterior consistency of the Bayesian nonparametric calibration is provided under suitable conditions for unknown true density. We provide simulation examples with fat tails and multimodal densities, and applications to density forecasts of daily S&P returns and daily maximum wind speed at the Frankfurt airport.


Segreteria Organizzativa:
Barbara Villa
Dipartimento di Scienze statistiche
Edificio Via Lanzone, 18
Dip.scienzestatistiche at unicatt.it<mailto:Dip.scienzestatistiche at unicatt.it>
Tel. +39 02 7234 2647
Fax +39 02 7234 3064


Università Cattolica del Sacro Cuore
Largo Gemelli 1, 20123 Milano
www.unicatt.it<http://www.unicatt.it/>


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