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Search: subject:"Kullback–Leibler divergence"
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Kullback-Leibler divergence
69
Theorie
34
Theory
32
Kullback–Leibler divergence
26
Statistische Verteilung
14
Statistical distribution
12
ARCH-Modell
10
Entropy
10
Entropie
9
Estimation theory
9
Schätztheorie
9
ARCH model
8
Kullback-Leibler Divergence
8
mixture of Student-t distributions
8
Expectation Maximization
7
Metropolis-Hastings algorithm
7
Risikomaß
7
Time series analysis
7
Zeitreihenanalyse
7
Algorithmus
6
Bayesian inference
6
Estimation
6
Prognoseverfahren
6
Risk measure
6
Schätzung
6
importance sampling
6
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5
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5
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5
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5
Relative entropy
5
relative entropy
5
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4
Bayes-Statistik
4
Blackwell ordering
4
Capital income
4
DCC GARCH
4
Kapitaleinkommen
4
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4
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4
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57
Free
47
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2
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Article
72
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41
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1
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Working Paper
33
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31
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English
68
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46
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Hoogerheide, Lennart
9
Opschoor, Anne
9
Dijk, Herman K. van
7
Blasques, Francisco
4
Cabrales, Antonio
4
Gossner, Olivier
4
Lucas, André
4
Serrano, Roberto
4
Belomestny, Denis
3
Koopman, Siem Jan
3
Mrázová, Monika
3
Neary, J. Peter
3
Parenti, Mathieu
3
Parra-Alvarez, Juan Carlos
3
Polanski, Arnold
3
Posch, Olaf
3
Stoja, Evarist
3
Wang, Mu-Chun
3
Artemova, Mariia
2
Benati, Luca
2
Beutner, Eric A.
2
Blasques, Francisco F.
2
Dudoit, Sandrine
2
Gorgi, Paolo
2
Härdle, Wolfgang
2
Keles, Sunduz
2
Komaki, Fumiyasu
2
Koopman, Siem Jan S.J.
2
Laan, Mark van der
2
Lampert, Timm
2
Li, Yong
2
Lin, Yicong
2
Lubik, Thomas A.
2
Ma, Shujie
2
Millossovich, Pietro
2
Motorin, Vladimir
2
Müller, Karsten
2
Penev, Spiridon
2
Shevchenko, Pavel V.
2
Sibbertsen, Philipp
2
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Tinbergen Instituut
2
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1
Dipartimento di Economia, Università degli Studi di Roma 3
1
Faculty of Economics, University of Cambridge
1
School of Economics, Singapore Management University
1
Tinbergen Institute
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Annals of the Institute of Statistical Mathematics
10
Discussion paper / Tinbergen Institute
6
Tinbergen Institute Discussion Paper
6
Journal of Multivariate Analysis
3
Journal of econometrics
3
Tinbergen Institute Discussion Papers
3
Computational Statistics
2
Computational Statistics & Data Analysis
2
European journal of operational research : EJOR
2
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
2
Journal of Applied Statistics
2
Journal of Econometrics
2
Physica A: Statistical Mechanics and its Applications
2
Psychometrika
2
Statistical Applications in Genetics and Molecular Biology
2
Statistics & Probability Letters
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied Economics Letters
1
Applied economics
1
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1
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1
CREATES research paper
1
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1
Department of Economics discussion paper series / University of Oxford
1
Departmental Working Papers of Economics - University 'Roma Tre'
1
Deutsche Bundesbank Discussion Paper
1
Discussion Papers
1
Discussion paper
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre
1
ESRB Working Paper Series
1
Econometric Reviews
1
Economic theory : official journal of the Society for the Advancement of Economic Theory
1
Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid
1
Economics letters
1
Eurasian Academy Of Sciences Social Sciences Journal
1
Evolutionary and institutional economics review
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Finance and economics discussion series
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ECONIS (ZBW)
51
RePEc
46
EconStor
15
BASE
1
Other ZBW resources
1
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1
Drawdown-based risk indicators for high-frequency fnancial volumes
D'Amico, Guglielmo
;
Di Basilio, Bice
;
Petroni, Filippo
- In:
Financial innovation : FIN
10
(
2024
),
pp. 1-40
Kullback-Leibler
divergence
. …
Persistent link: https://www.econbiz.de/10014535559
Saved in:
2
Consistency, distributional convergence, and optimality of score-driven filters
Beutner, Eric A.
;
Lin, Yicong
;
Lucas, André
-
2023
We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which minimizes the pointwise KL divergence between the...
Persistent link: https://www.econbiz.de/10014469606
Saved in:
3
Finite-state Markov-chain approximations : a hidden Markov approach
Janssens, Eva
;
McCrary, Sean
-
2023
Persistent link: https://www.econbiz.de/10014384507
Saved in:
4
Consistency, distributional convergence, and optimality of score-driven filters
Beutner, Eric A.
;
Lin, Yicong
;
Lucas, André
-
2023
We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which minimizes the pointwise KL divergence between the...
Persistent link: https://www.econbiz.de/10014335568
Saved in:
5
Pseudo-Bayesian updating
Zhao, Chen
- In:
Theoretical Economics
17
(
2022
)
1
,
pp. 253-289
terms of
Kullback-Leibler
divergence
from the probability measures consistent with newly received information. I show that …
Persistent link: https://www.econbiz.de/10013189088
Saved in:
6
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
7
Pseudo‐Bayesian updating
Zhao, Chen
- In:
Theoretical economics : TE ; an open access journal in …
17
(
2022
)
1
,
pp. 253-289
terms of
Kullback-Leibler
divergence
from the probability measures consistent with newly received information. I show that …
Persistent link: https://www.econbiz.de/10012806930
Saved in:
8
Short-term
Kullback-Leibler
divergence
analysis to extract unstable periods in financial time series
Ishizaki, Ryuji
;
Inoue, Masayoshi
- In:
Evolutionary and institutional economics review
21
(
2024
)
2
,
pp. 227-236
Persistent link: https://www.econbiz.de/10015191758
Saved in:
9
Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield
Parnes, Dror
- In:
The North American journal of economics and finance : a …
69
(
2024
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014445532
Saved in:
10
Distributionally robust newsvendor under stochastic dominance with a feature-based application
Fu, Mingyang
;
Li, Xiaobo
;
Zhang, Lianmin
- In:
Manufacturing & service operations management : M & SOM
26
(
2024
)
5
,
pp. 1962-1977
Persistent link: https://www.econbiz.de/10015133206
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