Related papers: Extracting the Italian output gap: a Bayesian appr…
We propose a non-standard subsampling procedure to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of…
Goodwin's model is a cornerstone in the study of dynamical systems within macroeconomics, explaining the interaction between employment ratio and wage share in a closed economy. Analogous to predator-prey dynamics in mathematical economics,…
We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…
This dataset contains the annual aggregated income taxes of all the Italian municipalities over the years 2007-2011. Data are clustered over the Italian regions and provinces. The source of the data is the Italian Ministry of Economics and…
We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…
Mechanistic simulation models are inverted against observations in order to gain inference on modeled processes. However, with the increasing ability to collect high resolution observations, these observations represent more patterns of…
In recent years, the shortcomings of Bayesian posteriors as inferential devices have received increased attention. A popular strategy for fixing them has been to instead target a Gibbs measure based on losses that connect a parameter of…
Undirected graphical models are widely used in statistics, physics and machine vision. However Bayesian parameter estimation for undirected models is extremely challenging, since evaluation of the posterior typically involves the…
Microscopic models describing a whole of economic interactions in a closed society are considered. The presence of a tax system combined with a redistribution process is taken into account, as well as the occurrence of tax evasion. In…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…
We introduce graph gamma process (GGP) linear dynamical systems to model real-valued multivariate time series. For temporal pattern discovery, the latent representation under the model is used to decompose the time series into a…
The gross domestic product (GDP) is the most widely used indicator in macroeconomics and the main tool for measuring a country's economic output. Due to the diversity and complexity of the world economy, a wide range of models have been…
Gaussian graphical models are a popular tool to learn the dependence structure in the form of a graph among variables of interest. Bayesian methods have gained in popularity in the last two decades due to their ability to simultaneously…
Statistical models can involve implicitly defined quantities, such as solutions to nonlinear ordinary differential equations (ODEs), that unavoidably need to be numerically approximated in order to evaluate the model. The approximation…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
Economic evaluations from individual-level data are an important component of the process of technology appraisal, with a view to informing resource allocation decisions. A critical problem in these analyses is that both effectiveness and…
Functional graphs (FGs) model the graph structures used to analyse the behaviour of functions from a discrete set to itself. In turn, such functions are used to study real complex phenomena evolving in time. As the systems involved can be…
Employing both Bayesian statistics and the theory of nonlinear dynamics, we present a practically efficient method to extract a phase description of weakly coupled limit-cycle oscillators directly from time series observed in a rhythmic…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior under heterogeneous spatial economic conditions is reviewed. A birth-death lattice gas model taking into account the influence of an economic…
A quantitative model is presented linking the rate of inflation and unemployment to the change in the level of labor force. The link between the involved variables is a linear one with all coefficients of individual and generalized models…