1,720,971 research outputs found
Martingale inequalities within the topology of Orlicz spaces
No full textRapporto interno N.31 del Dipartimento di Matematica del Politecnico di Torino, Ital
Zero Variance Markov Chain Monte Carlo for Bayesian Estimators
No full textInterest is in evaluating, by Markov chain Monte
Carlo (MCMC) simulation, the expected value of a function
with respect to a, possibly unnormalized, probability distribution.
A general purpose variance reduction technique for
the MCMC estimator, based on the zero-variance principle
introduced in the physics literature, is proposed. Conditions
for asymptotic unbiasedness of the zero-variance estimator
are derived. A central limit theorem is also proved under
regularity conditions. The potential of the idea is illustrated
with real applications to probit, logit and GARCH Bayesian
models. For all these models, a central limit theorem and
unbiasedness for the zero-variance estimator are proved (see
the supplementary material available on-line)
Forecasting TV audience:a consulting project with the Italian public television
No full textA statistical marketing consulting project financed by RAI, the public Italian television, is illustrated. Two alternative models have first been used, a statistical regression model and a data mining one, of a more empirical nature. Then the two models are hybridised in a third model, a compromise useful for applications. Finally, some real forecasting examples are illustrated
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