Paul Labonne
Senior Researcher, Bank of England
Time series predictive modelling & Software development for machine learning
[CV] [Github]
Working papers
-
Risky news and credit market sentiment
with Leif Anders Thorsrud
[working paper] -
Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
with Jamie Cross, Lennart Hoogerheide and Herman K. van Dijk
[working paper]
Publications
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BayesMultiMode : Bayesian mode inference in R
with Nalan Basturk, Jamie Cross, Peter de Knijff, Lennart Hoogerheide and Herman K. van Dijk
Journal of Statistical Software, provisionally accepted
[working paper] [R package] -
Asymmetric uncertainty: nowcasting using skewness in real-time data
International Journal of Forecasting, 2024
[paper] [code] [Python/JAX implementation] -
Bayesian mode inference for discrete distributions in economics and finance
with Jamie Cross, Lennart Hoogerheide and Herman K. van Dijk
Economics Letters, 2024
[paper] [code] -
Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value-added tax data
with Martin Weale
Journal of the Royal Statistical Society (Series A), 2020
[paper] [code] -
The financial foundations of the productivity puzzle
with Jagjit S. Chadha and Amit Kara
National Institute Economic Review, 2017
Software
Creator
- BayesMultiMode : Bayesian mode inference in R
Contributor
Machine learning experience
Forecasting / Nowcasting / Big data (PCA, Ridge / LASSO) / Causal Graphs / SVARs / Filtering (Kalman & Score driven) / Risk & Uncertainty / Bootstrap, Monte Carlo / Maximum Likelihood / Bayesian analysis / Backpropagation with automatic differentiation / NLP (word2vec) / Trend and seasonality / Temporal disaggregation