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We propose prior probability models for variance-covariance matrices in order to address two important issues. First, the models allow a researcher to represent substantive prior information about the strength of correlations among a set of variables. Secondly even in the absence of such information, the increased flexibility of the models mitigates(More)
We propose a method for optimal portfolio selection using a Bayesian framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features for modeling multivariate returns. Our results suggest that it is important to(More)
In this paper, we advocate incorporating the economic objective function into parameter estimation by analyzing the optimal portfolio choice problem of a mean-variance investor facing parameter uncertainty. We show that, in estimating the optimal portfolio weights, the standard plug-in approach that replaces the population parameters by their sample(More)
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Slice sampling provides an easily implemented method for constructing a Markov chain Monte Carlo (MCMC) algorithm. However, slice sampling has two major drawbacks: (i) it requires repeated evaluation of likelihoods for each update, which can make it impractical when evaluations are expensive or as the number of evaluations grows (geometrically) with the(More)
We develop a statistical model of browsing behavior by predicting the number of web pages, in a particular category, that are viewed by a user in a single web session. The purpose of this analysis is to better understand web browsing behavior, and to help predict which sessions are likely to result in retail visits. A single record in our database consists(More)
Eye movements across advertisements express a temporal pattern of bursts of respectively relatively short and long saccades, and this pattern is systematically influenced by activated scene perception goals. This was revealed by a continuous-time hidden Markov model applied to eye movements of 220 participants exposed to 17 ads under a free-viewing(More)