Michael Smith

Marginally Calibrated Deep Distributional Regression

Nadja Klein, David J Nott, Michael Stanley Smith

Journal article  |  2021  |  Journal of Computational and Graphical Statistics

Deep neural network (DNN) regression models are widely used in applications requiring state-of-the-art predictive accuracy. Howeve..

Bayesian Inference for Regression Copulas

MS Smith, N Klein

Journal article  |  2021  |  Journal of Business and Economic Statistics

We propose a new semiparametric distributional regression smoother that is based on a copula decomposition of the joint distributi..

Fast and accurate variational inference for models with many latent variables

R Loaiza-Maya, MS Smith, DJ Nott, PJ Danaher

Journal article  |  2021  |  Journal of Econometrics

Models with a large number of latent variables are often used to utilize the information in big or complex data, but can be diffic..

Bayesian variable selection for non-Gaussian responses: a marginally calibrated copula approach

Nadja Klein, Michael Stanley Smith

Journal article  |  2020  |  BIOMETRICS

We propose a new highly flexible and tractable Bayesian approach to undertake variable selection in non-Gaussian regression models..

Advertising Effectiveness for Multiple Retailer-Brands in a Multimedia and Multichannel Environment

Peter J Danaher, Tracey S Danaher, Michael Stanley Smith, Ruben Loaiza-Maya

Journal article  |  2020  |  Journal of Marketing Research

An important aspect of multimedia advertising effectiveness that remains unexplored is a customer-level analysis of the relative i..

High-Dimensional Copula Variational Approximation Through Transformation

Michael Stanley Smith, Ruben Loaiza-Maya, David J Nott

Journal article  |  2020  |  Journal of Computational and Graphical Statistics

Variational methods are attractive for computing Bayesian inference when exact inference is impractical. They approximate a target..

Real-Time Macroeconomic Forecasting with a Heteroskedastic Inversion Copula

Ruben Loaiza-Maya, M Smith

Journal article  |  2020  |  Journal of Business and Economic Statistics

There is a growing interest in allowing for asymmetry in the density forecasts of macroeconomic variables. In multivariate time se..

Whether, when and which: Modelling advanced seat reservations by airline passengers

S Shao, G Kauermann, MS Smith

Journal article  |  2020  |  Transportation Research Part A: Policy and Practice

Motivated by the growing importance of ancillary revenues in the airline industry, we propose a statistical model for Advanced Sea..

Implicit Copulas from Bayesian Regularized Regression Smoothers

Nadja Klein, Michael Stanley Smith

Journal article  |  2019  |  Bayesian Analysis

We show how to extract the implicit copula of a response vector from a Bayesian regularized regression smoother with Gaussian dist..

Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series

Ruben Loaiza-Maya, Michael Stanley Smith

Journal article  |  2019  |  Journal of Computational and Graphical Statistics

We propose a new variational Bayes (VB) estimator for high-dimensional copulas with discrete, or a combination of discrete and con..