Hierarchical shrinkage in time-varying parameter models

In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the Bayesian Lasso is gaining increasing popularity as an effective tool for achieving such shrinkage. In this paper, we develop econometric methods for using the Bayesian Lasso with time-varying parameter models. Our approach allows for the coefficient on each predictor to be: i) time varying, ii) constant over time or iii) shrunk to zero. The econometric methodology decides automatically which category each coefficient belongs in. Our empirical results indicate the benefits of such an approach

Covariance estimation for multivariate conditionally Gaussian dynamic linear models

In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the computation of confidence bounds of the forecasts. We develop an on-line, non-iterative Bayesian algorithm for estimation and forecasting. It is empirically found that, for a range of simulated time series, the proposed covariance estimator has good performance converging to the true values of the unknown observation covariance matrix. Over a simulated time series, the new method approximates the correct estimates, produced by a non-sequential Monte Carlo simulation procedure, which is used here as the gold standard. The special, but important, vector autoregressive (VAR) and time-varying VAR models are illustrated by considering London metal exchange data consisting of spot prices of aluminium, copper, lead and zinc.Comment: 21 pages, 2 figures, 6 table

Sparse Bayesian vector autoregressions in huge dimensions

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First, we assume that the reduced-form errors in the VAR feature a factor stochastic volatility structure, allowing for conditional equation-by-equation estimation. Second, we apply recently developed global-local shrinkage priors to the VAR coefficients to cure the curse of dimensionality. Third, we utilize recent innovations to efficiently sample from high-dimensional multivariate Gaussian distributions. This makes simulation-based fully Bayesian inference feasible when the dimensionality is large but the time series length is moderate. We demonstrate the merits of our approach in an extensive simulation study and apply the model to US macroeconomic data to evaluate its forecasting capabilities

Modelling and trading the Greek stock market with gene expression and genetic programing algorithms

This paper presents an application of the gene expression programming (GEP) and integrated genetic programming (GP) algorithms to the modelling of ASE 20 Greek index. GEP and GP are robust evolutionary algorithms that evolve computer programs in the form of mathematical expressions, decision trees or logical expressions. The results indicate that GEP and GP produce significant trading performance when applied to ASE 20 and outperform the well-known existing methods. The trading performance of the derived models is further enhanced by applying a leverage filter

Mode identification for Balloon 090100001 using combined multicolour photometry and spectroscopy

In this paper, we show that method of mode identification using combined multicolour photometry and spectroscopy can be successfully applied to the pulsating subdwarf B star Balloon 090100001. The method constrains the spherical degree, l.We confirm that the dominant mode is radial and we show that for some other modes the method provides values of l consistent with the observed rotationally split triplet. Moreover, we derive a radius variation of 1.7 per cent for the dominant mode. The identification opens the possibility for constraining the internal structure of the star by means of seismic methods.Comment: MNRAS, in press, already at the online-early stag

Ethnicity and the Writing of Medieval Scottish history

Historians have long tended to define medieval Scottish society in terms of interactions between ethnic groups. This approach was developed over the course of the long nineteenth century, a formative period for the study of medieval Scotland. At that time, many scholars based their analysis upon scientific principles, long since debunked, which held that medieval 'peoples' could only be understood in terms of 'full ethnic packages'. This approach was combined with a positivist historical narrative that defined Germanic Anglo-Saxons and Normans as the harbingers of advances of Civilisation. While the prejudices of that era have largely faded away, the modern discipline still relies all too often on a dualistic ethnic framework. This is particularly evident in a structure of periodisation that draws a clear line between the 'Celtic' eleventh century and the 'Norman' twelfth. Furthermore, dualistic oppositions based on ethnicity continue, particularly in discussions of the law, kingship, lordship and religion

TMCalc - A fast code to derive Teff and [Fe/H] for FGK stars

We present a new direct spectroscopic calibration for a fast estimation of the stellar metallicity [Fe/H]. These calibrations were computed using a large sample of 451 solar-type stars for which we have precise spectroscopic parameters derived from high quality spectra. The new [Fe/H] calibration is based on weak Fe I lines, which are expected to be less dependent on surface gravity and microturbulence, and require only a pre-determination of the effective temperature. This temperature can be obtained using a previously presented line-ratio calibration. We also present a simple code that uses the calibrations and procedures presented in these works to obtain both the effective temperature and the [Fe/H] estimate. The code, written in C, is freely available for the community and may be used as an extension of the ARES code. We test these calibrations for 582 independent FGK stars. We show that the code can be used as a precise and fast indicator of the spectroscopic temperature and metallicity for dwarf FKG stars with effective temperatures ranging from 4500 K to 6500 K and with [Fe/H] ranging from -0.8 dex to 0.4 dex.Comment: 10 pages, 8 Figures, published in A&

Detection of the ellipsoidal and the relativistic beaming effects in the CoRoT-3 lightcurve

CoRoT-3b is a 22 Jupiter-mass massive-planet/brown-dwarf object, orbiting an F3-star with a period of 4.3 days. We analyzed the out-of-transit CoRoT-3 red-channel lightcurve obtained by the CoRoT mission and detected the ellipsoidal modulation, with half the orbital period and amplitude of 59+/-9 ppm (parts per million) and the relativistic beaming effect, with the orbital period and an amplitude of 27+/-9 ppm. Phases and amplitudes of both modulations were consistent with our theoretical approximation.Comment: Published in Astronomy & Astrophysics. 5 pages, 2 figure