Dynamic Bayesian beta models
We develop a dynamic Bayesian beta model for modeling and forecasting single time series of rates or proportions. This work is related to a class of dynamic generalized linear models (DGLMs), although, for convenience, we use non-conjugate priors. The proposed methodology is based on approximate analysis relying on Bayesian linear estimation, nonlinear system of equations solution and Gaussian quadrature. Intentionally we avoid MCMC strategy, keeping the desired sequential nature of the Bayesian analysis. Applications to both real and simulated data are provided.
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- Bruche, Max & González-Aguado, Carlos, 2010.
"Recovery rates, default probabilities, and the credit cycle,"
Journal of Banking & Finance,
Elsevier, vol. 34(4), pages 754-764, April.
- Max Bruche & Carlos Gonzalez-Aguado, 2006. "Recovery rates, default probabilities and the credit cycle," LSE Research Online Documents on Economics 24524, London School of Economics and Political Science, LSE Library.
- Max Bruche & Carlos González Aguado, 2006. "Recovery Rates, Default Probabilities And The Credit Cycle," Working Papers wp2006_0612, CEMFI.
- Carlos González-Aguado & Max Bruche, 2006. "Recovery Rates, Default Probabilities and the Credit Cycle," FMG Discussion Papers dp572, Financial Markets Group.
- Ed McKenzie, 1985. "An Autoregressive Process for Beta Random Variables," Management Science, INFORMS, vol. 31(8), pages 988-997, August.
- Håvard Rue & Sara Martino & Nicolas Chopin, 2009. "Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 319-392.
- Godolphin, E.J. & Triantafyllopoulos, Kostas, 2006. "Decomposition of time series models in state-space form," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2232-2246, May.
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