Robust methods for heteroscedastic regression models for time series. What is the variability of the exchange rate of the Euro to the Australian dollar? Can the use of the electrocardiogram of a patient be improved as a diagnostic tool for heart disease? A well-known limitation of the existing statistical methods for answering these types of questions is that a small proportion of extreme observations have the potential to lead to results that are more in agreement with the outliers than with bu ....Robust methods for heteroscedastic regression models for time series. What is the variability of the exchange rate of the Euro to the Australian dollar? Can the use of the electrocardiogram of a patient be improved as a diagnostic tool for heart disease? A well-known limitation of the existing statistical methods for answering these types of questions is that a small proportion of extreme observations have the potential to lead to results that are more in agreement with the outliers than with bulk of the data. As a consequence, the statistical analyses may lead to wrong conclusions. This project aims to develop new methodologies to solve this problem for a large class of studies. Applications to stock market risk, exchange rate, and diagnosis of heart diseases will illustrate the new methods.Read moreRead less
Discovery Early Career Researcher Award - Grant ID: DE200101070
Funder
Australian Research Council
Funding Amount
$376,496.00
Summary
Consequences of Model Misspecification in Approximate Bayesian Computation. In almost any empirical application, the model the analyst is working with constitutes a misspecified description of the true process that has generated the data. While the method of Approximate Bayesian computation (ABC) is now a staple in the toolkit of the applied modeller, the impact of misspecification in ABC is unknown. This project aims to undertake a rigorous study into the behaviour of ABC under model misspecifi ....Consequences of Model Misspecification in Approximate Bayesian Computation. In almost any empirical application, the model the analyst is working with constitutes a misspecified description of the true process that has generated the data. While the method of Approximate Bayesian computation (ABC) is now a staple in the toolkit of the applied modeller, the impact of misspecification in ABC is unknown. This project aims to undertake a rigorous study into the behaviour of ABC under model misspecification. Expected outcomes include new theoretical results for ABC under misspecification and new methods capable of detecting/mitigating model misspecification. This project will provide significant benefits in all spheres where reliable, robust statistical inference methods are required in order to make reliable decisions.
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Discovery Early Career Researcher Award - Grant ID: DE200100693
Funder
Australian Research Council
Funding Amount
$405,458.00
Summary
Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. ....Financial Cycles and the Macroeconomy. The project aims to measure and understand the drivers of the financial cycle. As unsustainable financial conditions, such as excess credit, tend to precede financial cycle busts, which often eventuate into recessions, the project aims to also shed light on the interaction between the financial cycle and macroeconomy. These aims are expected to be achieved through the application of a new set of econometric tools to estimate and interpret financial cycles. The expected outcomes of this project include new insights for institutions such as the Reserve Bank of Australia and should provide significant benefit through the appropriate design of macroeconomic policy.Read moreRead less