Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing

Bayesian Analysis

Volumn 5, Issue 2, 2010, Pages 237-262

  Gramacy, Robert B ^a   Pantaleo, Ester ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF BARI   (Italy)

Author keywords

Data augmentation; Double exponential; Eavy tails; Factor model; Monotone missing data; Multivariate; Portfolio balancing; Ridge regression

Indexed keywords

EID: 79956298783     PISSN: 19360975     EISSN: 19316690     Source Type: Journal    
DOI: 10.1214/10-BA602     Document Type: Article

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