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~isPartOf:"Tinbergen Institute Discussion Paper"
~person:"Ardia, David"
~person:"Ravazzolo, Francesco"
~subject:"Large Set of Predictive Densities"
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Large Set of Predictive Densities
Bayes-Statistik
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Prognoseverfahren
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Density Combination
4
Statistische Verteilung
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Bayesian Filtering
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forecast combination
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importance sampling
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Affine term structure model
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Ardia, David
Ravazzolo, Francesco
Casarin, Roberto
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Grassi, Stefano
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van Dijk, Herman K.
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1
A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2022
state-space form, efficient simulation-based
Bayesian
inference is proposed using parallel sequential clustering as well as …
Persistent link: https://www.econbiz.de/10013356469
Saved in:
2
A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2022
, efficient simulation-based
Bayesian
inference is proposed using parallel dynamic clustering as well as nonlinear filtering …
Persistent link: https://www.econbiz.de/10013356509
Saved in:
3
A
Bayesian
Dynamic Compositional Model for Large Density Combinations in Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2021
A
Bayesian
dynamic compositional model is introduced that can deal with combining a large set of predictive densities …
Persistent link: https://www.econbiz.de/10012605982
Saved in:
4
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
2015
A
Bayesian
nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set …
Persistent link: https://www.econbiz.de/10011403538
Saved in:
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