Results 1  10
of
111
An exact likelihood analysis of the multinomial probit model
, 1994
"... We develop new methods for conducting a finite sample, likelihoodbased analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evalu ..."
Abstract

Cited by 90 (4 self)
 Add to MetaCart
We develop new methods for conducting a finite sample, likelihoodbased analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from the exact posterior of the multinomial probit model with correlated errors. This approach avoids direct evaluation of the likelihood and, thus, avoids the problems associated with calculating choice probabilities which affect both the standard likelihood and method of simulated moments approaches. Both simulated and actual consumer panel data are used to fit sixdimensional choice models. We also develop methods for analyzing random coefficient and multiperiod probit models.
Inference in longhorizon event studies: A bayesian approach with an application to initial public offerings
 Journal of Finance
, 2000
"... Statistical inference in longhorizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the us ..."
Abstract

Cited by 38 (3 self)
 Add to MetaCart
Statistical inference in longhorizon event studies has been hampered by the fact that abnormal returns are neither normally distributed nor independent. This study presents a new approach to inference that overcomes these difficulties and dominates other popular testing methods. I illustrate the use of the methodology by examining the longhorizon returns of initial public offerings ~IPOs!. I find that the Fama and French ~1993! threefactor model is inconsistent with the observed longhorizon price performance of these IPOs, whereas a characteristicbased model cannot be rejected. RECENT EMPIRICAL STUDIES IN FINANCE document systematic longrun abnormal price reactions subsequent to numerous corporate activities. 1 Since these results imply that stock prices react with a long delay to publicly available information, they appear to be at odds with the Efficient Markets Hypothesis ~EMH!. Longrun event studies, however, are subject to serious statistical difficulties
Modeling individual differences using Dirichlet processes
, 2006
"... We introduce a Bayesian framework for modeling individual differences, in which subjects are assumed to belong to one of a potentially infinite number of groups. In this model, the groups observed in any particular data set are not viewed as a fixed set that fully explains the variation between indi ..."
Abstract

Cited by 28 (12 self)
 Add to MetaCart
We introduce a Bayesian framework for modeling individual differences, in which subjects are assumed to belong to one of a potentially infinite number of groups. In this model, the groups observed in any particular data set are not viewed as a fixed set that fully explains the variation between individuals, but rather as representatives of a latent, arbitrarily rich structure. As more people are seen, and more details about the individual differences are revealed, the number of inferred groups is allowed to grow. We use the Dirichlet process—a distribution widely used in nonparametric Bayesian statistics—to define a prior for the model, allowing us to learn flexible parameter distributions without overfitting the data, or requiring the complex computations typically required for determining the dimensionality of a model. As an initial demonstration of the approach, we present three applications that analyze the individual differences in category learning, choice of publication outlets, and webbrowsing behavior.
Bayesian robust inference for differential gene expression in microarrays with multiple samples
 Biometrics
"... We consider the problem of identifying differentially expressed genes under different conditions using gene expression microarrays. Because of the many steps involved in the experimental process, from hybridization to image analysis, cDNA microarray data often contain outliers. For example, an outly ..."
Abstract

Cited by 25 (5 self)
 Add to MetaCart
We consider the problem of identifying differentially expressed genes under different conditions using gene expression microarrays. Because of the many steps involved in the experimental process, from hybridization to image analysis, cDNA microarray data often contain outliers. For example, an outlying data value could occur because of scratches or dust on the surface, imperfections in the glass, or imperfections in the array production. We develop a robust Bayesian hierarchical model for testing for differential expression. Errors are modeled explicitly using a tdistribution, which accounts for outliers. The model includes an exchangeable prior for the variances which allow different variances for the genes but still shrink extreme empirical variances. Our model can be used for testing for differentially expressed genes among multiple samples, and it can distinguish between the different possible patterns of differential expression when there are three or more samples. Parameter estimation is carried out using a novel version of Markov chain Monte Carlo that is appropriate when the model puts mass on subspaces of the full parameter space. The method is illustrated using two publicly available gene expression data sets. We compare our method to six other baseline and commonly used techniques, namely the ttest, the Bonferroniadjusted ttest, Significance Analysis of Microarrays (SAM), Efron’s empirical Bayes, and EBarrays in both its LognormalNormal and GammaGamma forms. In an experiment with HIV data, our method performed better than these alternatives, on the basis of betweenreplicate agreement and disagreement.
Modeling Multilevel Data Structures
 AMERICAN JOURNAL OF POLITICAL SCIENCE
, 1997
"... Although integrating multiple levels of data into an analysis can often yield better inferences about the phenomenon under study, traditional methodologies used to combine multiple levels of data are problematic. In this paper, we discuss several methodologies under the rubric of multilevel analys ..."
Abstract

Cited by 19 (0 self)
 Add to MetaCart
Although integrating multiple levels of data into an analysis can often yield better inferences about the phenomenon under study, traditional methodologies used to combine multiple levels of data are problematic. In this paper, we discuss several methodologies under the rubric of multilevel analysis. Multilevel methods, we argue, provide researchers, particularly researchers using comparative data, substantial leverage in overcoming the typical problems associated with either ignoring multiple levels of data, or problems associated with combining lowerlevel and higherlevel data (including overcoming implicit assumptions of fixed and constant effects). The paper discusses several variants of the multilevel model and provides an application of individuallevel support for European integration using comparative political data from Western Europe.
A Bayesian formulation of exploratory data analysis and goodnessoffit testing
, 2003
"... Exploratory data analysis (EDA) and Bayesian inference (or, more generally, complex statistical modeling)which are generally considered as unrelated statistical paradigmscan be particularly eective in combination. In this paper, we present a Bayesian framework for EDA based on posterior predict ..."
Abstract

Cited by 17 (9 self)
 Add to MetaCart
Exploratory data analysis (EDA) and Bayesian inference (or, more generally, complex statistical modeling)which are generally considered as unrelated statistical paradigmscan be particularly eective in combination. In this paper, we present a Bayesian framework for EDA based on posterior predictive checks. We explain how posterior predictive simulations can be used to create reference distributions for EDA graphs, and how this approach resolves some theoretical problems in Bayesian data analysis. We show how the generalization of Bayesian inference to include replicated data y and replicated parameters follows a long tradition of generalizations in Bayesian theory.
Correlated Bayesian Factor Analysis
, 1998
"... Factor analysis is a method in multivariate statistical analysis that can help scientists determine which variables to study in a field and their relationships. We extend the Bayesian approach to factor analysis developed in 1989 by Press and Shigemasu (henceforth PS89) and revised in 1997 to model ..."
Abstract

Cited by 16 (7 self)
 Add to MetaCart
Factor analysis is a method in multivariate statistical analysis that can help scientists determine which variables to study in a field and their relationships. We extend the Bayesian approach to factor analysis developed in 1989 by Press and Shigemasu (henceforth PS89) and revised in 1997 to model correlated observation vectors, factor score vectors, and factor loadings. Further, we place a prior distribution on the number of factors and obtain posterior estimates. Hitherto,
Bayesian Tests And Model Diagnostics In Conditionally Independent Hierarchical Models
 Journal of the American Statistical Association
, 1994
"... Consider the conditionally independent hierarchical model (CIHM) where observations y i are independently distributed from f(y i j` i ), the parameters ` i are independently distributed from distributions g(`j), and the hyperparameters are distributed according to a distribution h(). The posterior ..."
Abstract

Cited by 16 (1 self)
 Add to MetaCart
Consider the conditionally independent hierarchical model (CIHM) where observations y i are independently distributed from f(y i j` i ), the parameters ` i are independently distributed from distributions g(`j), and the hyperparameters are distributed according to a distribution h(). The posterior distribution of all parameters of the CIHM can be efficiently simulated by Monte Carlo Markov Chain (MCMC) algorithms. Although these simulation algorithms have facilitated the application of CIHM's, they generally have not addressed the problem of computing quantities useful in model selection. This paper explores how MCMC simulation algorithms and other related computational algorithms can be used to compute Bayes factors that are useful in criticizing a particular CIHM. In the case where the CIHM models a belief that the parameters are exchangeable or lie on a regression surface, the Bayes factor can measure the consistency of the data with the structural prior belief. Bayes factors can ...
Bayesian forecasting of an inhomogeneous Poisson process with applications to call center data. To appear
 Journal of the American Statistical Association
, 2007
"... A call center is a centralized hub where customer and other telephone calls are dealt with by an organization. In today’s economy, they have become the primary point of contact between customers and businesses. Accurate prediction of the call arrival rate is therefore indispensable for call center ..."
Abstract

Cited by 16 (2 self)
 Add to MetaCart
A call center is a centralized hub where customer and other telephone calls are dealt with by an organization. In today’s economy, they have become the primary point of contact between customers and businesses. Accurate prediction of the call arrival rate is therefore indispensable for call center practitioners to staff their call center efficiently and cost effectively. This article proposes a multiplicative model for modeling and forecasting withinday arrival rates to a US commercial bank’s call center. Markov chain Monte Carlo sampling methods are used to estimate both latent states and model parameters. Onedayahead density forecasts for the rates and counts are provided. The calibration of these predictive distributions is evaluated through probability integral transforms. Furthermore, we provide onedayahead forecasts comparisons with classical statistical models. Our predictions show significant improvements of up to 25 % over these standards. A sequential Monte Carlo algorithm is also proposed for sequential estimation and forecasts of the model parameters and rates.
Gibbs Sampling and Hill Climbing in Bayesian Factor Analysis
, 1998
"... Press and Shigemasu, 1989, proposed a Bayesian factor analysis model. Factor scores, factor loadings, and disturbance variances and covariances were estimated in closed form using a large sample approximation for one of the terms in the posterior distribution. This paper shows that by using Gibb ..."
Abstract

Cited by 13 (11 self)
 Add to MetaCart
Press and Shigemasu, 1989, proposed a Bayesian factor analysis model. Factor scores, factor loadings, and disturbance variances and covariances were estimated in closed form using a large sample approximation for one of the terms in the posterior distribution. This paper shows that by using Gibbs sampling or Lindley/Smith optimization ap proaches to estimation instead of the large sample approximation, both of which are possible in this model, we can obtain improved point estimators in small samples.