Contemporary Bayesian Analysis: Methods and Applications

A special issue of Mathematics (ISSN 2227-7390). This special issue belongs to the section "D1: Probability and Statistics".

Deadline for manuscript submissions: 10 January 2026 | Viewed by 831

Special Issue Editors


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Guest Editor
Department of Mathematical Sciences, Auckland University of Technology, Auckland 1010, New Zealand
Interests: Bayesian econometrics and statistics with applications to economics, finance, health science, and social science, and time series analysis and forecasting

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Guest Editor
1. Economics Discipline Group, University of Technology Sydney, Ultimo, Sydney, NSW 2007, Australia
2. Centre for Applied Macroeconomic Analysis, Australian National University, Canberra, ACT 2601, Australia
Interests: Bayesian statistics; time series econometrics; high-dimensional methods; empirical macroeconomics

Special Issue Information

Dear Colleagues,

We invite submissions to a Special Issue in the journal Mathematics of MDPI on “Contemporary Bayesian Analysis: Methods and Applications”. This Special Issue recognizes the Bayesian revolution in econometrics, statistics, and data science, especially pertaining to their methods and applications.

Authors with papers using any Bayesian approaches are encouraged to submit their papers or have a discussion with us. Papers with recent methods and applications are more than welcome. We also expect to receive contributions from emerging researchers.

Best regards,

Dr. Nuttanan Wichitaksorn
Dr. Mengheng Li
Guest Editors

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Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Mathematics is an international peer-reviewed open access semimonthly journal published by MDPI.

Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 2600 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.

Keywords

  • Bayesian analysis
  • econometrics and statistics
  • time series analysis and forecasting
  • Bayesian applications
  • Bayesian machine learning

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Published Papers (1 paper)

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Research

28 pages, 1641 KB  
Article
Bayesian Estimation of R-Vine Copula with Gaussian-Mixture GARCH Margins: An MCMC and Machine Learning Comparison
by Rewat Khanthaporn and Nuttanan Wichitaksorn
Mathematics 2025, 13(23), 3886; https://doi.org/10.3390/math13233886 - 4 Dec 2025
Viewed by 338
Abstract
This study proposes Bayesian estimation of multivariate regular vine (R-vine) copula models with generalized autoregressive conditional heteroskedasticity (GARCH) margins modeled by Gaussian-mixture distributions. The Bayesian estimation approach includes Markov chain Monte Carlo and variational Bayes with data augmentation. Although R-vines typically involve computationally [...] Read more.
This study proposes Bayesian estimation of multivariate regular vine (R-vine) copula models with generalized autoregressive conditional heteroskedasticity (GARCH) margins modeled by Gaussian-mixture distributions. The Bayesian estimation approach includes Markov chain Monte Carlo and variational Bayes with data augmentation. Although R-vines typically involve computationally intensive procedures limiting their practical use, we address this challenge through parallel computing techniques. To demonstrate our approach, we employ thirteen bivariate copula families within an R-vine pair-copula construction, applied to a large number of marginal distributions. The margins are modeled as exponential-type GARCH processes with intertemporal capital asset pricing specifications, using a mixture of Gaussian and generalized Pareto distributions. Results from an empirical study involving 100 financial returns confirm the effectiveness of our approach. Full article
(This article belongs to the Special Issue Contemporary Bayesian Analysis: Methods and Applications)
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