scholarly journals Bayesian learning of sparse classifiers

2005 ◽  
Author(s):  
M.A.T. Figueiredo ◽  
A.K. Jain
Keyword(s):  
Bayesian Learning

Variational Bayesian Learning Theory

2019 ◽  
Author(s):  
Shinichi Nakajima ◽  
Kazuho Watanabe ◽  
Masashi Sugiyama
Keyword(s):  
Learning Theory ◽  
Bayesian Learning ◽  
Variational Bayesian

Blind Identification of Multichannel Systems Based on Sparse Bayesian Learning

2016 ◽  
Vol E99.B (12) ◽  
pp. 2614-2622 ◽  
Author(s):  
Kai ZHANG ◽  
Hongyi YU ◽  
Yunpeng HU ◽  
Zhixiang SHEN ◽  
Siyu TAO
Keyword(s):  
Bayesian Learning ◽  
Blind Identification ◽  
Sparse Bayesian Learning ◽  
Multichannel Systems

Characterizing Non-Myopic Information Cascades in Bayesian Learning

2019 ◽  
Author(s):  
Ilai Bistritz ◽  
Nasimeh Heydaribeni ◽  
Achilleas Anastasopoulos
Keyword(s):  
Bayesian Learning ◽  
Information Cascades

Learning for infinitely divisible GARCH models in option pricing

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Fumin Zhu ◽  
Michele Leonardo Bianchi ◽  
Young Shin Kim ◽  
Frank J. Fabozzi ◽  
Hengyu Wu
Keyword(s):  
Option Pricing ◽  
Stock Returns ◽  
Bayesian Learning ◽  
Space Structure ◽  
Estimation Methods ◽  
Garch Models ◽  
Learning Approaches ◽  
Infinitely Divisible ◽  
Asymmetric Garch ◽  
Non Gaussian

AbstractThis paper studies the option valuation problem of non-Gaussian and asymmetric GARCH models from a state-space structure perspective. Assuming innovations following an infinitely divisible distribution, we apply different estimation methods including filtering and learning approaches. We then investigate the performance in pricing S&P 500 index short-term options after obtaining a proper change of measure. We find that the sequential Bayesian learning approach (SBLA) significantly and robustly decreases the option pricing errors. Our theoretical and empirical findings also suggest that, when stock returns are non-Gaussian distributed, their innovations under the risk-neutral measure may present more non-normality, exhibit higher volatility, and have a stronger leverage effect than under the physical measure.

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