Search results for "ECs"
showing 10 items of 2721 documents
An index of financial connectedness applied to variance risk premia
2014
The purpose is to construct an index of financial connectedness among France, Germany, UK, Switzerland and the Netherlands variance risk premia. The variance risk premium of each country stock market is measured by the difference between the (square) of implied volatility and expected realized variance of the stock market for next month. The total and directional indices of financial connectedness are obtained from the forecast error variance decomposition of a Vector Autoregressive Model, VAR, as recently suggested by Diebold and Yilmaz. While the authors main focus is on connectedness among financial returns, they base their analysis on a short memory stationary VAR. Given the long memory…
The analysis of the material deprivation of foreigners in Italy.
2013
We examine the material deprivation of foreigners on a sub-sample of the 2009 Italian Survey on Income and Living Conditions. We employ two indices of material deprivation that take into account the regional level of our analysis, and rely on the assignment of weights to items. The determinants of material deprivation are investigated through a zero-inflated beta model.
Adaptive independent sticky MCMC algorithms
2018
In this work, we introduce a novel class of adaptive Monte Carlo methods, called adaptive independent sticky MCMC algorithms, for efficient sampling from a generic target probability density function (pdf). The new class of algorithms employs adaptive non-parametric proposal densities which become closer and closer to the target as the number of iterations increases. The proposal pdf is built using interpolation procedures based on a set of support points which is constructed iteratively based on previously drawn samples. The algorithm's efficiency is ensured by a test that controls the evolution of the set of support points. This extra stage controls the computational cost and the converge…
Local inhomogeneous weighted summary statistics for marked point processes
2023
We introduce a family of local inhomogeneous mark-weighted summary statistics, of order two and higher, for general marked point processes. Depending on how the involved weight function is specified, these summary statistics capture different kinds of local dependence structures. We first derive some basic properties and show how these new statistical tools can be used to construct most existing summary statistics for (marked) point processes. We then propose a local test of random labelling. This procedure allows us to identify points, and consequently regions, where the random labelling assumption does not hold, e.g.~when the (functional) marks are spatially dependent. Through a simulatio…
Bayesian inference for the extremal dependence
2016
A simple approach for modeling multivariate extremes is to consider the vector of component-wise maxima and their max-stable distributions. The extremal dependence can be inferred by estimating the angular measure or, alternatively, the Pickands dependence function. We propose a nonparametric Bayesian model that allows, in the bivariate case, the simultaneous estimation of both functional representations through the use of polynomials in the Bernstein form. The constraints required to provide a valid extremal dependence are addressed in a straightforward manner, by placing a prior on the coefficients of the Bernstein polynomials which gives probability one to the set of valid functions. The…
Nowcasting COVID‐19 incidence indicators during the Italian first outbreak
2020
A novel parametric regression model is proposed to fit incidence data typically collected during epidemics. The proposal is motivated by real-time monitoring and short-term forecasting of the main epidemiological indicators within the first outbreak of COVID-19 in Italy. Accurate short-term predictions, including the potential effect of exogenous or external variables are provided. This ensures to accurately predict important characteristics of the epidemic (e.g., peak time and height), allowing for a better allocation of health resources over time. Parameter estimation is carried out in a maximum likelihood framework. All computational details required to reproduce the approach and replica…
An ensemble approach to short-term forecast of COVID-19 intensive care occupancy in Italian Regions
2020
Abstract The availability of intensive care beds during the COVID‐19 epidemic is crucial to guarantee the best possible treatment to severely affected patients. In this work we show a simple strategy for short‐term prediction of COVID‐19 intensive care unit (ICU) beds, that has proved very effective during the Italian outbreak in February to May 2020. Our approach is based on an optimal ensemble of two simple methods: a generalized linear mixed regression model, which pools information over different areas, and an area‐specific nonstationary integer autoregressive methodology. Optimal weights are estimated using a leave‐last‐out rationale. The approach has been set up and validated during t…
Clustering of waveforms-data based on FPCA direction
2010
The necessity of nding similar features of waveforms data recorded for earthquakes at di erent time instants is here considered, since eventual similarity between these functions could suggest similar behavior of the source process of the corresponding earthquakes. In this paper we develop a clustering algorithm for curves based on directions de ned by an application of PCA to functional data.
Clustering of waveforms based on FPCA direction
2010
Looking for curves similarity could be a complex issue characterized by subjective choices related to continuous transformations of observed discrete data (Chiodi, 1989). Waveforms correlation techniques have been introduced to charac- terize the degree of seismic event similarity (Menke, 1999) and in facilitating more accurate relative locations within similar event clusters by providing more precise timing of seismic wave (P and S) arrivals (Phillips, 1997). In this paper functional analysis (Ramsey, and Silverman, 2006) is considered to highlight common characteristics of waveforms-data and to summarize these charac- teristics by few components, by applying a variant of a classical clust…
Functional Principal components direction to cluster earthquake waveforms
2010
Looking for curves similarity could be a complex issue characterized by subjective choices related to continuous transformations of observed discrete data (Chiodi, 1989). In this paper we combine the aim of finding clusters from a set of individual curves to the functional nature of data, applying a variant of a k-means algorithm based on the principal component rotation of data. We apply a classical clustering method to rotated data, according to the direction of maximum variance. A k-means clustering algorithm based on PCA rotation of data is proposed, as an alternative to methods that require previous interpolation of data based on splines or linear fitting (Garc´ıa- Escudero and Gordali…