Multivariate Density Estimation by Neural Networks

Autor: Dewi E. W. Peerlings, Jan A. van den Brakel, Nalan Basturk, Marco J. H. Puts

Publikováno v: IEEE Transactions on Neural Networks and Learning Systems. IEEE

We propose nonparametric methods to obtain the Probability Density Function (PDF) to assess the properties of the underlying data generating process (DGP) without imposing any assumptions on the DGP, using neural networks (NNs). The proposed NN has a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::433a844f5e3c6fed71eeee2d5098a6b4
https://pubmed.ncbi.nlm.nih.gov/35849671

Bayes estimates of multimodal density features using DNA and Economic Data

Autor: Nalan Basturk, Herman K. van Dijk, Lennart F. Hoogerheide

Publikováno v: SSRN Electronic Journal.

In several scientific fields, like bioinformatics, financial and macro-economics, important theoretical and practical issues exist that involve multimodal data distributions. We propose a Bayesian approach using mixtures distributions to approximate

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::25d39f6e99381feac8efabb77823fbcb
https://doi.org/10.2139/ssrn.3783351

Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank

Autor: Nalan Basturk, Lennart F. Hoogerheide, Herman K. van Dijk

Publikováno v: Bayesian Analysis, 12(3), 879-917. Carnegie Mellon University
Vrije Universiteit Amsterdam
Basturk, N, Hoogerheide, L F & van Dijk, H K 2017, ' Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank ', Bayesian Analysis, vol. 12, no. 3, pp. 879-917 . https://doi.org/10.1214/17-BA1061
Bayesian Anal. 12, no. 3 (2017), 879-917
Basturk, N, Hoogerheide, L F & van Dijk, H K 2017 ' Bayesian Analysis of Boundary and Near-Boundary Evidence in Econometric Models with Reduced Rank ' TI Discussion Paper Series, no. 058/III, vol. 17, Tinbergen Institute, Amsterdam . < http://papers.tinbergen.nl/17058.pdf >

Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring c

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bc83c76fd31fceef9f92b9a94f7c13e2
https://cris.maastrichtuniversity.nl/en/publications/644271f4-5495-4baa-8c49-e374fd8db351

Forecasting Directional Change Uncertainty Using Probabilistic Fuzzy Systems

Autor: Rui Jorge Almeida, Nalan Basturk

Publikováno v: FUZZ-IEEE
Proceedings of the 2018 IEEE International Conference on Fuzzy Systems: FUZZ-IEEE 2018, 1-8
STARTPAGE=1;ENDPAGE=8;TITLE=Proceedings of the 2018 IEEE International Conference on Fuzzy Systems

Directional change (DC) representations of stock and exchange rate prices have been proposed as a new method for describing and forecasting intra-day price movements. In the DC approach, a time series price curve is transformed into an intrinsic time

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b9597a72400673c1a57cd24555070820
https://cris.maastrichtuniversity.nl/en/publications/f3834e40-dc42-42de-8d0a-7e1ae6e22276

Intraday Value-at-Risk Estimation for Directional Change Events and Investment Strategies

Autor: Rui Jorge Almeida, Nalan Basturk, Robert Golan

Publikováno v: SSCI
2017 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI), 588-595
STARTPAGE=588;ENDPAGE=595;TITLE=2017 IEEE SYMPOSIUM SERIES ON COMPUTATIONAL INTELLIGENCE (SSCI)

Accurate risk measurement is important for making and assessing investment decisions. Recently, directional change representations of returns are proposed as a new method for analyzing and forecasting intra-day price movements and for creating invest

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5797e31b5bb547dffe0ad993abda670
https://doi.org/10.1109/SSCI.2017.8285442