Maciej Marówka

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

213

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (3)

1.

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Number of pages: 30 Posted: 01 May 2017
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes School of Business
Downloads 85 (304,744)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

2.

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Number of pages: 28 Posted: 16 Feb 2017
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes School of Business
Downloads 79 (318,465)
Citation 1

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Cointegration, Bayesian, Hamiltonian Monte Carlo

3.

Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

Number of pages: 25 Posted: 02 Aug 2017
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes School of Business
Downloads 49 (405,542)

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Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning