Professor Shulan Hu, a researcher of the base, has published a collaborative paper titled "A Bayesian estimation approach of random switching exponential smoothing with application to credit forecast" in the Finance Research Letters.

Abstract:

We introduce an efficient Markov Chain Monte Carlo sampler in precision-based algorithms for the estimation of the Random Switching Exponential Smoothing model, a versatile forecasting mechanism for time series data characterized with changing trends. Through a series of simulation experiments, RC-MCMC exhibits superior parameter estimation accuracy, particularly for datasets featuring low persistence trends. Furthermore, an empirical evaluation using the Bank for International Settlements’ quarterly time series data on the non-financial sector’s total credit relative to GDP validates the findings. The out-of-sample results indicate that the proposed approach outperforms its counterparts in estimating and forecasting accuracy for trending time series data.

Keywords：Random switching exponential smoothing; Precision-based algorithms; Bayesian estimation; Forecasting; Credit

Link：https://doi.org/10.1016/j.frl.2023.104525

Teacher profile

Shulan Hu, professor of Statistics and Mathematics School of Zhongnan University of Economics and Law, doctoral supervisor, Wen LAN Young Scholar, young teachers "research star". Director of Resources and Environment Branch of Chinese Field Statistics Society, Director of Big Data Branch and Director of Hubei Field Statistics Society. She is mainly engaged in the research of big data statistical algorithm theory and its application, econometric methods and financial applications. She has published more than 20 papers in Bernoulli, Statistics Sinica, Stochastic Processes and their Applications, Science in China, Science China Press and other authoritative academic journals at home and abroad. He wrote one academic monograph and edited Econometrics, the textbook of National Statistical Planning for the 14th Five-Year Plan. She has presided over and completed more than a dozen projects including National Natural Science Foundation Youth Project, National Social Science Foundation General Project, central university project, graduate quality course construction project, English course construction project, and horizontal project of enterprises and public institutions. She won the first and second-class mentoring student awards in various competitions, such as the National Market Survey Competition, the National Statistical Case Competition, the National Industrial and Economic Financial Big Data Modeling and Calculation Competition, and the American Mathematical Modeling Competition.