arXiv subjects

Daniele Bianchi

Publications and source records attributed to Daniele Bianchi.

5 recordsLinked to original sources

arXiv2025

Scalable Variational Bayes Inference for Dynamic Variable Selection

We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we demonstrate that our method yields more accurate parameter estimates than existing Bayesian static and dynamic variable selection approaches while maintaining computational efficiency. We illustrate the performance of our approach within the context of a popular problem in economics: forecasting inflation based on a large set of macroeconomic predictors. Our approach demonstrates significant improvements in out-of-sample point and density forecasting accuracy. A retrospective analysis of the time-varying parameter estimates reveals economically interpretable patterns in inflation dynamics.

stat.ME↗

arXiv2023

Variational inference for large Bayesian vector autoregressions

We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter space for posterior inference. Instead, we elicit hierarchical shrinkage priors directly on the matrix of regression coefficients so that (1) the prior structure directly maps into posterior inference on the reduced-form transition matrix, and (2) posterior estimates are more robust to variables permutation. An extensive simulation study provides evidence that our approach compares favourably against existing linear and non-linear Markov Chain Monte Carlo and variational Bayes methods. We investigate both the statistical and economic value of the forecasts from our variational inference approach within the context of a mean-variance investor allocating her wealth in a large set of different industry portfolios. The results show that more accurate estimates translate into substantial statistical and economic out-of-sample gains. The results hold across different hierarchical shrinkage priors and model dimensions.

econ.EM↗

arXiv2023

Phase field modelling and simulation of damage occurring in human vertebra after screws fixation procedure

The present endeavor numerically exploits the use of a phase-field model to simulate and investigate fracture patterns, deformation mechanisms, damage, and mechanical responses in a human vertebra after the incision of pedicle screws under compressive regimes. Moreover, the proposed phase field framework can elucidate scenarios where different damage patterns, such as crack nucleation sites and crack trajectories, play a role after the spine fusion procedure, considering several simulated physiological movements of the vertebral body. A convergence analysis has been conducted for the vertebra-screws model, considering several mesh refinements, which has demonstrated good agreement with the existing literature on this topic. Consequently, by assuming different angles for the insertion of the pedicle screws and taking into account a few vertebral motion loading regimes, a plethora of numerical results characterizing the damage occurring within the vertebral model has been derived. Overall, the phase field results may shed more light on the medical community, which will be useful in enhancing clinical interventions and reducing post-surgery bone failure and screw loosening.

cs.CE↗

arXiv2021

SofaMyRoom: a fast and multiplatform "shoebox" room simulator for binaural room impulse response dataset generation

This paper introduces a shoebox room simulator able to systematically generate synthetic datasets of binaural room impulse responses (BRIRs) given an arbitrary set of head-related transfer functions (HRTFs). The evaluation of machine hearing algorithms frequently requires BRIR datasets in order to simulate the acoustics of any environment. However, currently available solutions typically consider only HRTFs measured on dummy heads, which poorly characterize the high variability in spatial sound perception. Our solution allows to integrate a room impulse response (RIR) simulator with different HRTF sets represented in Spatially Oriented Format for Acoustics (SOFA). The source code and the compiled binaries for different operating systems allow to both advanced and non-expert users to benefit from our toolbox, see https://github.com/spatialaudiotools/sofamyroom/ .

cs.SD↗

arXiv2018

Large-Scale Dynamic Predictive Regressions

We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under this framework, clusters of predictors generate different latent states in the form of predictive densities that are later synthesized within an implied time-varying latent factor model. As a result, the latent inter-dependencies across predictive densities and biases are sequentially learned and corrected. Unlike sparse modeling and variable selection procedures, we do not assume a priori that there is a given subset of active predictors, which characterize the predictive density of a quantity of interest. We test our procedure by investigating the predictive content of a large set of financial ratios and macroeconomic variables on both the equity premium across different industries and the inflation rate in the U.S., two contexts of topical interest in finance and macroeconomics. We find that our predictive synthesis framework generates both statistically and economically significant out-of-sample benefits while maintaining interpretability of the forecasting variables. In addition, the main empirical results highlight that our proposed framework outperforms both LASSO-type shrinkage regressions, factor based dimension reduction, sequential variable selection, and equal-weighted linear pooling methodologies.

stat.ME↗