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  • Search: person:"Calderhead, B."
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Bayes-Statistik 1 Bayesian inference 1 Bayesian modelling 1 Business cycle 1 Cyclical coordinate descent 1 Konjunktur 1 Mean Reversion 1 Mean reversion 1 Portfolio selection 1 Portfolio-Management 1 Sparse portfolio 1 Theorie 1 Theory 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 2
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Calderhead, B. 1 Calderhead, Ben 1 Girolami, M. 1 Griveau-Billion, T. 1
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Quantitative finance 1
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BASE 1 ECONIS (ZBW) 1
Showing 1 - 2 of 2
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Efficient computation of mean reverting portfolios using cyclical coordinate descent
Griveau-Billion, T.; Calderhead, Ben - In: Quantitative finance 21 (2021) 4, pp. 673-684
Persistent link: https://www.econbiz.de/10012483845
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Estimating Bayes factors via thermodynamic integration and population MCMC
Calderhead, B.; Girolami, M. - 2009
A Bayesian approach to model comparison based on the integrated or marginal likelihood is considered, and applications to linear regression models and nonlinear ordinary differential equation (ODE) models are used as the setting in which to elucidate and further develop existing statistical...
Persistent link: https://www.econbiz.de/10009455562
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