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Forecasting with multivariate temporal aggregation: The case of promotional modelling

Nikolaos Kourentzes, Fotios Petropoulos
2016 International Journal of Production Economics  
Furthermore, we demonstrate that modelling time series using multiple temporal aggregation levels makes the final forecast robust to model misspecification.  ...  The extended multivariate MAPA is evaluated against established benchmarks in modelling a number of heavily promoted products and is found to perform well in terms of forecast bias and accuracy.  ...  This is a useful property for practical implementations of MAPAx, as it makes it robust against misspecification at some aggregation levels and crucially at the original time series, which is the only  ... 
doi:10.1016/j.ijpe.2015.09.011 fatcat:iqfm3kmedvf43ea5eh43s7ijoy

Greater power and computational efficiency for kernel-based association testing of sets of genetic variants

Christoph Lippert, Jing Xiang, Danilo Horta, Christian Widmer, Carl Kadie, David Heckerman, Jennifer Listgarten
2014 Computer applications in the biosciences : CABIOS  
Finally, our computational speedups now enable (i) efficient LR testing when the background kernel is full rank, and (ii) efficient score testing when the background kernel changes with each test, as for  ...  Motivation: Set-based variance component tests have been identified as a way to increase power in association studies by aggregating weak individual effects.  ...  Funding support for the 'CIDR Visceral Adiposity Study' was provided through the Division of Aging Biology and the Division of Geriatrics and Clinical Gerontology, NIA.  ... 
doi:10.1093/bioinformatics/btu504 pmid:25075117 pmcid:PMC4221116 fatcat:cjay63k53fgjldzogfxil54mvi

Inference for Impulse Responses under Model Uncertainty [article]

Lenard Lieb, Stephan Smeekes
2019 arXiv   pre-print
We adapt several methods for handling model uncertainty and highlight their shortcomings.  ...  In simulations the WIMP outperforms all other methods considered, delivering intervals that are robust to rank uncertainty, yet not overly conservative.  ...  to rank misspecification.  ... 
arXiv:1709.09583v3 fatcat:rs5vwnhsf5az5eprude4mm7bqi

Inference for Impulse Responses Under Model Uncertainty

Lenard Lieb, Stephan Smeekes
2017 Social Science Research Network  
We propose a new method -Weighted Inference by Model Plausibility (WIMP) -that takes rank uncertainty into account in a fully data-driven way and outperforms all other methods considered in the simulation  ...  The WIMP method is shown to deliver intervals that are robust to rank uncertainty, yet allow for meaningful inference, approaching fixed rank intervals when evidence for a particular rank is strong.  ...  to rank misspecification.  ... 
doi:10.2139/ssrn.2940104 fatcat:nlr3rhqyc5gongpq6o7oofvs3a

A General Framework for Counterfactual Learning-to-Rank [article]

Aman Agarwal, Kenta Takatsu, Ivan Zaitsev, Thorsten Joachims
2019 arXiv   pre-print
Going beyond this special case, this paper provides a general and theoretically rigorous framework for counterfactual learning-to-rank that enables unbiased training for a broad class of additive ranking  ...  metrics (e.g., Discounted Cumulative Gain (DCG)) as well as a broad class of models (e.g., deep networks).  ...  ACKNOWLEDGMENTS This research was supported in part by NSF Awards IIS-1615706 and IIS-1513692, an Amazon Research Award, and the Criteo Faculty Research Award program.  ... 
arXiv:1805.00065v3 fatcat:cjvtma4rrjglrmlgckcn7uh5gu

ARE THE BALTIC COUNTRIES READY TO ADOPT THE EURO? A GENERALIZED PURCHASING POWER PARITY APPROACH*

GUGLIELMO MARIA CAPORALE, DAVIDE CIFERRI, ALESSANDRO GIRARDI
2011 Manchester School  
Further, the adopted joint modelling approach for the real exchange rates of the Baltic region outperforms a number of alternative models in terms of out-of-sample forecasts.  ...  This paper focuses on macroeconomic interdependencies between the Euro area and three transition economies (Estonia, Lithuania and Latvia) , with the aim of establishing whether the latter are ready to  ...  Robustness and extensions Evidence from quarterly data As a robustness check of our findings, we re-estimate model (5) using quarterly data.  ... 
doi:10.1111/j.1467-9957.2009.02158.x fatcat:b34zt2rmtbh6jhvbllqee5uceu

Learning under fear of floating

Saki Bigio
2010 Journal of Economic Dynamics and Control  
To explain this trend, we build a model that describes the behavior of Central Banks in developing countries under uncertainty and fear of misspecification about the effects of exchange rate depreciations  ...  We describe how the Central Bank's the evolution of the prior depends on the optimal policy and viceversa.  ...  Hansen and Sargent's framework deals with two sources of misspecification 14 . Robust preferences are characterized by a single parameter, Θ 15 .  ... 
doi:10.1016/j.jedc.2010.04.010 fatcat:yk2ibdt4tvbm7dw5dvgykr4xzq

A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

Evan W. Anderson, Lars Peter Hansen, Thomas J. Sargent
2003 Journal of the European Economic Association  
A representative agent fears that his model, a continuous time Markov process with jump and diffusion components, is misspecified and therefore uses robust control theory to make decisions.  ...  Related semigroups describe (1) an approximating model; (2) a model misspecification adjustment to the continuation value in the decision maker's Bellman equation; (3) asset prices; and (4) the behavior  ...  robustness against.  ... 
doi:10.1162/154247603322256774 fatcat:n32vtq7muzaphdizpmmtcwwiji

Monetary Policy, Global Liquidity and Commodity Price Dynamics

Ansgar Hubertus Belke, Ingo G. Bordon, Torben W. Hendricks
2010 Social Science Research Network  
Our empirical model supports the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defi ned as a global liquidity aggregate) is still a key factor  ...  Our empirical results appear to be overall robust since they pass inter alia a series of recursive tests and are stable for varying compositions of the commodity indices.  ...  Some studies have applied VAR or VECM models to data aggregated on a global level.  ... 
doi:10.2139/ssrn.1592416 fatcat:bqebgas7knaobchn7soqmv6kyu

Monetary policy, global liquidity and commodity price dynamics

Ansgar H. Belke, Ingo G. Bordon, Torben W. Hendricks
2014 The North American journal of economics and finance  
Our empirical model supports the view that, when controlling for interest rate changes and thus different monetary policy stances, money (defi ned as a global liquidity aggregate) is still a key factor  ...  Our empirical results appear to be overall robust since they pass inter alia a series of recursive tests and are stable for varying compositions of the commodity indices.  ...  Some studies have applied VAR or VECM models to data aggregated on a global level.  ... 
doi:10.1016/j.najef.2013.12.003 fatcat:fg2rcu2vmnbczgkjob7btxx6my

Global liquidity and commodity prices–a cointegrated VAR approach for OECD countries

Ansgar Belke, Ingo G. Bordon, Torben W. Hendricks
2010 Applied Financial Economics  
Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables while the process is mainly driven  ...  Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the editors.  ...  Rank determination and testing restrictions on the cointegrated VAR model The cointegration rank is determined according to Johansen LR trace test (Johansen, 1988 (Johansen, , 1991 (Johansen, , 1994 .  ... 
doi:10.1080/09603100903282713 fatcat:ozalvobsmzg75kkdlrhizspaeq

Global Liquidity and Commodity Prices - A Cointegrated VAR Approach for OECD Countries

Ansgar Hubertus Belke, Ingo G. Bordon, Torben W. Hendricks
2009 Social Science Research Network  
Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables while the process is mainly driven  ...  Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the editors.  ...  Rank determination and testing restrictions on the cointegrated VAR model The cointegration rank is determined according to Johansen LR trace test (Johansen, 1988 (Johansen, , 1991 (Johansen, , 1994 .  ... 
doi:10.2139/ssrn.1375384 fatcat:wi6juboytffvtmqyuyxxxihba4

Interoperability of Statistical Models in Pandemic Preparedness: Principles and Reality

George Nicholson, Marta Blangiardo, Mark Briers, Peter J. Diggle, Tor Erlend Fjelde, Hong Ge, Robert J. B. Goudie, Radka Jersakova, Ruairidh E. King, Brieuc C. L. Lehmann, Ann-Marie Mallon, Tullia Padellini (+3 others)
2022 Statistical Science  
Interoperability provides an important set of principles for future pandemic preparedness, through the joint design and deployment of adaptable systems of statistical models for disease surveillance using  ...  We illustrate this through case studies for inferring and characterising spatial-temporal prevalence and reproduction numbers of SARS-CoV-2 infections in England.  ...  ACKNOWLEDGMENTS Chris Holmes and Sylvia Richardson contributed equally to this research.  ... 
doi:10.1214/22-sts854 pmid:35664221 pmcid:PMC7612804 fatcat:xjww77kiafcmlkqwqsblotyrna

Modeling the search for tolerant-to-uncertainty monetary and fiscal policies under their interaction

L.A. Serkov
2017 Economic Analysis Theory and Practice  
Part I: Standard control and filtering 2. Basic ideas and methods 14 2.1. Introduction. 2.2. Approximating models. 2.2.1. Dynamic programming without model misspecification. 2.3.  ...  Measuring model misspecification: entropy. 2.4. Two robust control problems. 2.4.1. Modified certainty equivalence principle. 2.5. Robust linear regulator. 2.6. More general misspecifications. 2.7.  ...  Acknowledgements For criticism of previous drafts and stimulating discussions of many issues we thank Fernando Alvarez, Luca Benati, Dirk Bergemann, V.V. Chari, Jack Y. John Doyle drew the picture.  ... 
doi:10.24891/ea.16.10.1972 fatcat:j7amapu6hnafrar7cf6cgoin3q

Partitioning heritability by functional annotation using genome-wide association summary statistics

Hilary K Finucane, Brendan Bulik-Sullivan, Alexander Gusev, Gosia Trynka, Yakir Reshef, Po-Ru Loh, Verneri Anttila, Han Xu, Chongzhi Zang, Kyle Farh, Stephan Ripke, Felix R Day (+10 others)
2015 Nature Genetics  
The two-category estimators were not robust to model misspecification and consistently over-estimated DHS enrichment by a wide margin.  ...  data, in scenarios with and without model misspecification (Online Methods).  ... 
doi:10.1038/ng.3404 pmid:26414678 pmcid:PMC4626285 fatcat:7phet37u5ndthaeayslcfzchaq
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