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University of Chicago
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University of Cambridge
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about me

MONOMVN Shrinkage regression
#BayesianStatistics #Finance #portfolio #regression #shrinkage #HeavyTails

This project was developed by Robert Gramacy. I joined the project to extend the framework to heavy tailed distributions. This work has been published as "Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing", Bayesian Analysis, Volume 5, Number 2 (2010), 237-262.

paper