Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.

Hierarchical multi-label classification using local neural networks

Hierarchical multi-label classification is a complex classification task where the classes involved in the problem are hierarchically structured and each example may simultaneously belong to more than one class in each hierarchical level. In this paper, we extend our previous works, where we investigated a new local-based classification method that incrementally trains a multi-layer perceptron for each level of the classification hierarchy. Predictions made by a neural network in a given level are used as inputs to the neural network responsible for the prediction in the next level. We compare the proposed method with one state-of-the-art decision-tree induction method and two decision-tree induction methods, using several hierarchical multi-label classification datasets. We perform a thorough experimental analysis, showing that our method obtains competitive results to a robust global method regarding both precision and recall evaluation measures.