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  • Search: subject:"Gaussian approximation"
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Year of publication
Subject
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Gaussian approximation 22 Estimation theory 7 Schätztheorie 7 count time series 5 Time series analysis 4 Zeitreihenanalyse 4 coupling 4 empirical process 4 supremum 4 Bootstrap approach 3 Bootstrap-Verfahren 3 Forecasting model 3 Pinsker's inequality 3 Prognoseverfahren 3 estimation error 3 multiplier bootstrap 3 weighted bootstrap 3 Empirical method 2 Empirische Methode 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Multiplier 2 Multiplikator 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 Radon transform 2 Risikomaß 2 Risk measure 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 Value at Risk 2 average treatment effect conditional on covariates 2 double robustness 2 empirical bootstrap process 2 expected shortfall 2 expectiles 2 finite sample size 2 forward interest rate 2
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Online availability
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Free 23 CC license 1
Type of publication
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Book / Working Paper 15 Article 8
Type of publication (narrower categories)
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Working Paper 13 Graue Literatur 7 Non-commercial literature 7 Arbeitspapier 6 Article 4 Article in journal 3 Aufsatz in Zeitschrift 3 Aufsatzsammlung 1
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Language
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English 21 Undetermined 2
Author
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Alwan, Layth C. 5 Frahm, Gabriel 5 Göb, Rainer 5 Homburg, Annika 5 Chernozhukov, Victor 4 Chetverikov, Denis 4 Kato, Kengo 4 Weiß, Christian H. 3 Zhilova, Mayya 3 Chen, Likai 2 Christiansen, Marcus C. 2 Dunker, Fabian 2 Eckle, Konstantin 2 Lee, Sokbae 2 Okui, Ryo 2 Proksch, Katharina 2 Schmidt-Hieber, Johannes 2 Spokoiny, Vladimir 2 Wang, Weining 2 Wang, Yoon-Jae 2 Weiß, Christian 2 Wu, Wei Biao 2 González Cázares, Jorge 1 Huber, Florian 1 Koop, Gary 1 Kurisu, Daisuke 1 Mijatović, Aleksandar 1 Otsu, Taisuke 1 Pfarrhfer, Michael 1 Spokojnyj, Vladimir G. 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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CEMMAP working papers / Centre for Microdata Methods and Practice 3 cemmap working paper 3 IRTG 1792 Discussion Paper 2 Risks 2 Discussion Papers 1 Discussion papers / Courant Research Centre "Poverty, Equity and Growth in Developing and Transition Countries: Statistical Methods and Empirical Analysis" 1 Econometrics 1 Econometrics : open access journal 1 Econometrics papers 1 Finance and stochastics 1 Journal of Forecasting 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 Strathclyde discussion papers in economics 1
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Source
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EconStor 11 ECONIS (ZBW) 10 RePEc 2
Showing 1 - 10 of 23
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Bayesian inference in high-dimensional time-varying parameter models using integrated rotated Gaussian approximations
Huber, Florian; Koop, Gary; Pfarrhfer, Michael - 2023
Persistent link: https://www.econbiz.de/10014316036
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Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
González Cázares, Jorge; Mijatović, Aleksandar - In: Finance and stochastics 26 (2022) 4, pp. 671-732
Persistent link: https://www.econbiz.de/10013440249
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A performance analysis of prediction intervals for count time series
Homburg, Annika; Weiß, Christian H.; Alwan, Layth C.; … - In: Journal of Forecasting 40 (2021) 4, pp. 603-625
types of count processes. We also compare them to approximate PIs that are computed based on a Gaussian approximation. Our …
Persistent link: https://www.econbiz.de/10012428788
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Analysis and forecasting of risk in count processes
Homburg, Annika; Weiß, Christian H.; Frahm, Gabriel; … - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-25
Risk measures are commonly used to prepare for a prospective occurrence of an adverse event. If we are concerned with discrete risk phenomena such as counts of natural disasters, counts of infections by a serious disease, or counts of certain economic events, then the required risk forecasts are...
Persistent link: https://www.econbiz.de/10012611739
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On linearization of nonparametric deconvolution estimators for repeated measurements model
Kurisu, Daisuke; Otsu, Taisuke - 2021
Persistent link: https://www.econbiz.de/10012627479
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Analysis and forecasting of risk in count processes
Homburg, Annika; Weiß, Christian; Frahm, Gabriel; … - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012522289
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Inference of breakpoints in high-dimensional time series
Chen, Likai; Wang, Weining; Wu, Wei Biao - 2020
coordinates and aggregating simultaneous breaks over multiple coordinates. Extending the existing high-dimensional Gaussian … approximation theorem to dependent data with jumps, the theory allows us to characterize the size and power of our multiple change …
Persistent link: https://www.econbiz.de/10012433263
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Inference of Break-Points in High-Dimensional Time Series
Chen, Likai; Wang, Weining; Wu, Wei Biao - 2019
extending the existing powerful theory on local linear kernel estimation and high dimensional Gaussian approximation to allow …
Persistent link: https://www.econbiz.de/10012433227
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Evaluating Approximate Point Forecasting of Count Processes
Homburg, Annika; Weiß, Christian H.; Alwan, Layth C.; … - In: Econometrics 7 (2019) 3, pp. 1-28
In forecasting count processes, practitioners often ignore the discreteness of counts and compute forecasts based on Gaussian approximations instead. For both central and non-central point forecasts, and for various types of count processes, the performance of such approximate point forecasts is...
Persistent link: https://www.econbiz.de/10012696245
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Evaluating Approximate Point Forecasting of Count Processes
Homburg, Annika; Weiß, Christian; Alwan, Layth C.; … - In: Econometrics : open access journal 7 (2019) 3/30
In forecasting count processes, practitioners often ignore the discreteness of counts and compute forecasts based on Gaussian approximations instead. For both central and non-central point forecasts, and for various types of count processes, the performance of such approximate point forecasts is...
Persistent link: https://www.econbiz.de/10012161530
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