Measurement exchangeability and normal one-factor models

Exchangeability and regression models

Sir David Cox’s statistical career and his lifelong interest in the theory and application of stochastic processes began with problems in the wool industry. The problem of drafting a strand of wool yarn to near uniform width is not an auspicious starting point, but an impressive array of temporal and spectral methods from stationary time series were brought to bear on the problem in Cox (1949)....

Building Measurement Models from Scratch: Graphical Models, Exchangeability Models, and Log-linear Models

Exchangeability and Mean Field Models 3

Normal Factor Graphs as Probabilistic Models

We present a new probabilistic modelling framework based on the recent notion of normal factor graph (NFG). We show that the proposed NFG models and their transformations unify some existing models such as factor graphs, convolutional factor graphs, and cumulative distribution networks. The two subclasses of the NFG models, namely the constrained and generative models, exhibit a duality in thei...

One-factor-Garch models for German stocks: Estimation and forecasting

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the rst two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten-Jagannathan-Runkle GARCH(1,1)-M) and three di ere...