Saturday, February 14, 2015

MoneyScience News

MoneyScience News


Blog Post: TheFinancialServicesClub: What does 'too big to fail' really mean? [Infographic]

Posted: 13 Feb 2015 04:49 AM PST

I just received this fantastic infographic from the New Jersey Institute of Technology, discussing developments since 2008 and the financial crisis.  The context is whether the Big 5 American Banks are still too big to fail (TBTF), and whether the US government has introduced effective controls under Dodd-Frank to avoid the TBTF situation if another financial crisis hit.read more...

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Published / Preprint: Quasi-Newton particle Metropolis-Hastings applied to intractable likelihood models. (arXiv:1502.03656v1 [stat.CO])

Posted: 12 Feb 2015 05:37 PM PST

Particle Metropolis-Hastings enables Bayesian parameter inference in general nonlinear state space models (SSMs). However, in many implementations a random walk proposal is used and this can result in poor mixing if not tuned correctly using tedious pilot runs. Therefore, we consider a new proposal inspired by quasi-Newton algorithms that achieves better mixing with less tuning. Compared to other...

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