Search Results - subject:"Kullback–Leibler divergence" - EconBiz

Forecasting in a changing world: from the great recession to the COVID-19 pandemic

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...

Persistent link: https://www.econbiz.de/10012427192

Searching for hysteresis

Benati, Luca; Lubik, Thomas A. - 2021

computed based on the actual data via the Kullback-Leibler divergence. Based on two alternative identification schemes …

Persistent link: https://www.econbiz.de/10012625337

Forecasting in a changing world : from the great recession to the COVID-19 pandemic

Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan; … - 2021

We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...

Persistent link: https://www.econbiz.de/10012416341

Does ambiguity generate demand for options?

Nishiwaki, Takashi - 2021 - This version: April 2021

Persistent link: https://www.econbiz.de/10012617799

Optimal Transport based drift detection for sensor streams : method and applications in transportation

Laha, Arnab Kumar; Verma, Shikha - 2021

Persistent link: https://www.econbiz.de/10012794433

Portfolio selection : a target-distribution approach

Lassance, Nathan; Vrins, Frédéric - In: European journal of operational research : EJOR 310 (2023) 1, pp. 302-314

Persistent link: https://www.econbiz.de/10014340178

A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration

Stokes, Jeffrey R. - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 855-878

Persistent link: https://www.econbiz.de/10014342115

Capturing information in extreme events

Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5

Persistent link: https://www.econbiz.de/10014461218

Estimation of heterogeneous agent models: A likelihood approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020

to use the Kullback-Leibler diver-gence to investigate identification problems that may affect inference. Our …

Persistent link: https://www.econbiz.de/10012254876

Estimation of heterogeneous agent models : a likelihood approach

Parra-Alvarez, Juan Carlos; Posch, Olaf; Wang, Mu-Chun - 2020

Persistent link: https://www.econbiz.de/10012317765

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