Output details
11 - Computer Science and Informatics
University College London
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Output 0 of 0 in the submission
Output title
Bayesian Conditional Cointegration
Type
E - Conference contribution
DOI
-
Name of conference/published proceedings
International Conference on Machine Learning
Volume number
-
Issue number
-
First page of article
1095
ISSN of proceedings
-
Year of publication
2012
Number of additional authors
1
Additional information
<13> Cointegration is an important problem in time-series analysis and financial modelling and won Granger the nobel prize for economics. We show that Granger's approach can be significantly improved using a novel Bayesian technique and empirically validate that our method is more accurate and more general. This won the runner-up best paper at ICML2012 (from over 200 papers), arguably the top conference in machine learning theory in the world.
Interdisciplinary
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Cross-referral requested
-
Research group
None
Citation count
0
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-
