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Search: subject:"kullback–leibler divergence"
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Kullback-Leibler divergence
33
Theorie
15
Theory
13
Statistische Verteilung
8
ARCH-Modell
7
Metropolis-Hastings algorithm
7
mixture of Student-t distributions
7
Expectation Maximization
6
Kullback-Leibler Divergence
6
Statistical distribution
6
importance sampling
6
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5
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3
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3
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3
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3
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3
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3
multi-information
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risk contribution
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risk interdependence
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47
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39
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Hoogerheide, Lennart
7
Opschoor, Anne
7
Dijk, Herman K. van
5
Blasques, Francisco
4
Lucas, André
4
Cabrales, Antonio
3
Gossner, Olivier
3
Mrázová, Monika
3
Neary, J. Peter
3
Parenti, Mathieu
3
Parra-Alvarez, Juan Carlos
3
Polanski, Arnold
3
Posch, Olaf
3
Serrano, Roberto
3
Stoja, Evarist
3
Wang, Mu-Chun
3
Artemova, Mariia
2
Belomestny, Denis
2
Beutner, Eric A.
2
Blasques, Francisco F.
2
Gorgi, Paolo
2
Koopman, Siem Jan
2
Koopman, Siem Jan S.J.
2
Lampert, Timm
2
Lin, Yicong
2
Ma, Shujie
2
Motorin, Vladimir
2
Müller, Karsten
2
Sibbertsen, Philipp
2
Taktikos, Michael
2
Zhang, Zhaokun
2
Zhao, Chen
2
van Dijk, Herman K.
2
Benati, Luca
1
Ceccato, Vania
1
D'Amico, Guglielmo
1
Di Basilio, Bice
1
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1
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1
Ha, Jinkyung
1
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1
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1
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ECONIS (ZBW)
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EconStor
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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
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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