Related papers: Latent Variable Phillips Curve
The Ising and Potts models, among the most important models in statistical physics, have been used for modeling binary and multinomial data on lattices in a wide variety of disciplines such as psychology, image analysis, biology, and…
In data analysis, latent variables play a central role because they help provide powerful insights into a wide variety of phenomena, ranging from biological to human sciences. The latent tree model, a particular type of probabilistic…
In this paper, we provide non-averaged and transient performance guarantees for recently developed, tube-based robust economic model predictive control (MPC) schemes. In particular, we consider both tube-based MPC schemes with and without…
Motivated by the increasing shift to multicore computers, recent work has developed language support for responsive parallel applications that mix compute-intensive tasks with latency-sensitive, usually interactive, tasks. These…
Data-driven Model Predictive Control (MPC), where the system model is learned from data with machine learning, has recently gained increasing interests in the control community. Gaussian Processes (GP), as a type of statistical models, are…
We introduce the implicit processes (IPs), a stochastic process that places implicitly defined multivariate distributions over any finite collections of random variables. IPs are therefore highly flexible implicit priors over functions,…
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under this framework, clusters of predictors generate different…
We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the…
We consider approximate dynamic programming in $\gamma$-discounted Markov decision processes and apply it to approximate planning with linear value-function approximation. Our first contribution is a new variant of Approximate Policy…
This study presents a semi-nonparametric Latent Class Choice Model (LCCM) with a flexible class membership component. The proposed model formulates the latent classes using mixture models as an alternative approach to the traditional random…
This paper aims to reevaluate the Taylor Rule, through a linear and a nonlinear method, such that its estimated federal funds rates match those actually previously implemented by the Federal Reserve Bank. In the linear method, this paper…
By optimizing the predicted performance over a receding horizon, model predictive control (MPC) provides the ability to enforce state and control constraints. The present paper considers an extension of MPC for nonlinear systems that can be…
We present a novel data-driven Model Predictive Control (MPC) algorithm for nonlinear systems. The method is based on recent extensions of behavioural theory and Willem's Fundamental Lemma for nonlinear systems by the means of adequate…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…
Given R groups of numerical variables X1, ... XR, we assume that each group is the result of one underlying latent variable, and that all latent variables are bound together through a linear equation system. Moreover, we assume that some…
Principal component analysis (PCA) is a useful tool when trying to construct factor models from historical asset returns. For the implied volatilities of U.S. equities there is a PCA-based model with a principal eigenportfolio whose return…
We propose a modified version of the three-step estimation method for the latent class model with covariates, which may be used to estimate latent Markov models for longitudinal data. The three-step estimation approach we propose is based…
Timely characterizations of risks in economic and financial systems play an essential role in both economic policy and private sector decisions. However, the informational content of low-frequency variables and the results from conditional…
We present the first calculation of the Bayesian evidence for different prototypical single field inflationary scenarios, including representative classes of small field and large field models. This approach allows us to compare…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…