impact coefficient
Variational Inference for Bayesian MIDAS Regression
We develop a Coordinate Ascent Variational Inference (CAVI) algorithm for Bayesian Mixed Data Sampling (MIDAS) regression with linear weight parameterizations. The model separates impact coeffcients from weighting function parameters through a normalization constraint, creating a bilinear structure that renders generic Hamiltonian Monte Carlo samplers unreliable while preserving conditional conjugacy exploitable by CAVI. Each variational update admits a closed-form solution: Gaussian for regression coefficients and weight parameters, Inverse-Gamma for the error variance. The algorithm propagates uncertainty across blocks through second moments, distinguishing it from naive plug-in approximations. In a Monte Carlo study spanning 21 data-generating configurations with up to 50 predictors, CAVI produces posterior means nearly identical to a block Gibbs sampler benchmark while achieving speedups of 107x to 1,772x (Table 9). Generic automatic differentiation VI (ADVI), by contrast, produces bias 714 times larger while being orders of magnitude slower, confirming the value of model-specific derivations. Weight function parameters maintain excellent calibration (coverage above 92%) across all configurations. Impact coefficient credible intervals exhibit the underdispersion characteristic of mean-field approximations, with coverage declining from 89% to 55% as the number of predictors grows a documented trade-off between speed and interval calibration that structured variational methods can address. An empirical application to realized volatility forecasting on S&P 500 daily returns cofirms that CAVI and Gibbs sampling yield virtually identical point forecasts, with CAVI completing each monthly estimation in under 10 milliseconds.
Have a break from making decisions, have a MARS: The Multi-valued Action Reasoning System
The Multi-valued Action Reasoning System (MARS) is an automated value-based ethical decision-making model for artificial agents (AI). Given a set of available actions and an underlying moral paradigm, by employing MARS one can identify the ethically preferred action. It can be used to implement and model different ethical theories, different moral paradigms, as well as combinations of such, in the context of automated practical reasoning and normative decision analysis. It can also be used to model moral dilemmas and discover the moral paradigms that result in the desired outcomes therein. In this paper, we give a condensed description of MARS, explain its uses, and comparatively place it in the existing literature.