Speaker |
Juan Carlos Martinez-Ovando |
|---|---|
Affiliation |
Banco de México |
Date |
Thursday, 29 November 2012 |
Time |
13:00-14:30 |
Location |
Zoom |
Link |
Bedford Way LG04 |
Event series |
Jump Trading/ELLIS CSML Seminar Series |
Abstract |
In this talk we present a procedure to constructing stationary dependent models based on latent probability measures. The idea focuses in developing first-order dependent models from particular conditional independence structures. We address the idea with the introduction of a fully non-parametric Markov model in discrete time, as well with some other extensions incorporating exogenous interventions and multivariate versions in a semi-parametric setting. We also sketch some ideas to perform inference and predictions within the Bayesian framework. (Joint work with Stephen G. Walker, U. Kent) Slides for the talk: PDF |
Biography |