Centres Centre for Business Analytics Research Bayesian Mode Inference for Discrete Distributions in Economics and Finance

Bayesian Mode Inference for Discrete Distributions in Economics and Finance

We propose a straightforward technique for mode inference in discrete data distributions which involves fitting a mixture of novel shifted-Poisson distributions.

The credibility and utility of our approach is demonstrated through applications pertaining to loan default risk and inflation expectations.

Bayesian Mode Inference for Discrete Distributions in Economics and Finance

Cross L, Jamie, Lennart Hoogerheide, Paul Labonne, and Herman K. Van Dijk. "Bayesian mode inference for discrete distributions in economics and finance." No. TI 2023-038/III. Tinbergen Institute Discussion Paper, 2023