Bayesian nonparametric mixture models represent a powerful statistical framework that extends traditional mixture modelling by allowing the number of mixture components to be inferred from the data ...

Journal of Business & Economic Statistics, Vol. 34, No. 4, Special Issue on Big Data (October 2016), pp. 661-672 (12 pages) Randomized controlled trials play an important role in how Internet ...

The covariance matrix of asset returns is the key input for many problems in finance and economics. This paper introduces a Bayesian nonparametric method to estimate the ex post covariance matrix from ...

This paper studies nonparametric estimation of parameters of multivariate Hawkes processes. We consider the Bayesian setting and derive posterior concentration rates. First, rates are derived for ...