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~person:"Casarin, Roberto"
~isPartOf:"CREATES Research Papers"
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Density Forecast Combination
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Casarin, Roberto
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Parallel Sequential Monte
Carlo
for Efficient Density Combination: The Deco Matlab Toolbox
Casarin, Roberto
;
Grassi, Stefano
;
Ravazzolo, Francesco
; …
-
School of Economics and Management, University of Aarhus
-
2013
Monte
Carlo
algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for …
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