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Details about Anastasios Nicholas Panagiotelis

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Workplace:Department of Econometrics and Business Statistics, Monash Business School, Monash University, (more information at EDIRC)

Access statistics for papers by Anastasios Nicholas Panagiotelis.

Last updated 2019-01-14. Update your information in the RePEc Author Service.

Short-id: ppa802


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Working Papers

2018

  1. Probabilisitic forecasts in hierarchical time series
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (8)

2017

  1. Bayesian Inference for a 1-Factor Copula Model
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (1)
  2. Bayesian Weighted Inference from Surveys "Abstract: Data from large surveys are often supplemented with sampling weights that are designed to reflect unequal probabilities of response and selection inherent in complex survey sampling methods. We propose two methods for Bayesian estimation of parametric models in a setting where the survey data and the weights are available, but where information on how the weights were constructed is unavailable. The first approach is to simply replace the likelihood with the pseudo likelihood in the formulation of Bayes theorem. This is proven to lead to a consistent estimator but also leads to credible intervals that suffer from systematic undercoverage. Our second approach involves using the weights to generate a representative sample which is embedded within a Markov chain Monte Carlo (MCMC) or other simulation algorithm designed to estimate the parameters of the model. In extensive simulation studies, the latter methodology is shown to achieve performance comparable to the standard frequentist solution of pseudo maximum likelihood, with the added advantage of being applicable to models that require inference via MCMC. The methodology is demonstrated further by fitting a mixture of gamma densities to a sample of Australian household income."
    Department of Economics - Working Papers Series, The University of Melbourne Downloads
  3. Macroeconomic forecasting for Australia using a large number of predictors
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads View citations (3)
  4. The Australian Macro Database: An online resource for macroeconomic research in Australia
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads View citations (1)
    Also in Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics (2017) Downloads View citations (1)

2016

  1. Bayesian Rank Selection in Multivariate Regression
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2013

  1. From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence and Visit Behavior
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads
    See also Journal Article in Journal of Business & Economic Statistics (2014)

Journal Articles

2017

  1. Model selection for discrete regular vine copulas
    Computational Statistics & Data Analysis, 2017, 106, (C), 138-152 Downloads View citations (2)

2014

  1. From Amazon to Apple: Modeling Online Retail Sales, Purchase Incidence, and Visit Behavior
    Journal of Business & Economic Statistics, 2014, 32, (1), 14-29 Downloads View citations (1)
    See also Working Paper (2013)

2012

  1. Pair Copula Constructions for Multivariate Discrete Data
    Journal of the American Statistical Association, 2012, 107, (499), 1063-1072 Downloads View citations (22)

2010

  1. Bayesian skew selection for multivariate models
    Computational Statistics & Data Analysis, 2010, 54, (7), 1824-1839 Downloads View citations (4)

2008

  1. Bayesian density forecasting of intraday electricity prices using multivariate skew t distributions
    International Journal of Forecasting, 2008, 24, (4), 710-727 Downloads View citations (68)
  2. Bayesian identification, selection and estimation of semiparametric functions in high-dimensional additive models
    Journal of Econometrics, 2008, 143, (2), 291-316 Downloads View citations (23)
 
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