Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing

DOI10.48550/arXiv.0907.2135zbMath1330.91185arXiv0907.2135MaRDI QIDQ82911

Ester Pantaleo, Robert B. Gramacy, Ester Pantaleo, Robert B. Gramacy

Publication date: 13 July 2009

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0907.2135

zbMATH Keywords

heavy tailsridge regressiondata augmentationmultivariatefactor modeldouble-exponentialmonotone missing dataportfolio balancing

Mathematics Subject Classification ID

Multivariate analysis (62H99) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Portfolio theory (91G10)

Related Items (8)

A comparative study on high-dimensional bayesian regression with binary predictors ⋮ Discussion ⋮ monomvn ⋮ Lasso meets horseshoe: a survey ⋮ Balanced Bayesian LASSO for heavy tails ⋮ Particle Learning for Fat-Tailed Distributions ⋮ Assessing Bayes Factor Surfaces Using Interactive Visualization and Computer Surrogate Modeling ⋮ Sparse Bayesian linear regression using generalized normal priors

Uses Software

• R
• CRAN
• Monomvn

This page was built for publication: Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing