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  • Search: subject:"shrinkage parameter"
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Year of publication
Subject
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Bayesian forecasts combination 3 forecasts accuracy 3 prior 3 shrinkage parameter 3 econometric model 2 Bayes-Statistik 1 Bayesian inference 1 Econometric model 1 Forecast 1 Forecasting model 1 Inadmissibility 1 Inflation 1 Prognose 1 Prognoseverfahren 1 Romania 1 Rumänien 1 Shrinkage estimation 1 Shrinkage parameter 1 Squared loss function 1 Stein loss function 1 Theorie 1 Theory 1 Variance estimation 1 econometric model. 1 Ökonometrisches Modell 1
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Online availability
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Free 3 Undetermined 1
Type of publication
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Article 4
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2 Undetermined 2
Author
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Simionescu, Mihaela 2 Bratu, Mihaela 1 Jang, Homin 1 Tong, Tiejun 1 Wang, Yuedong 1
Published in...
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UTMS Journal of Economics 2 Journal of Multivariate Analysis 1 UTMS journal of economics / University of Tourism and Management : international, multidisciplinary journal for the area of south and southeastern Europe 1
Source
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RePEc 2 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 4 of 4
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Bayesian forecasts combination to improve the Romanian inflation predictions based on econometric models
Simionescu, Mihaela - In: UTMS Journal of Economics 5 (2014) 2, pp. 131-140
-linear model. The Bayesian combinations that used experts' predictions as priors, when the shrinkage parameter tends to infinite …
Persistent link: https://www.econbiz.de/10010435946
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BAYESIAN FORECASTS COMBINATION TO IMPROVE THE ROMANIAN INFLATION PREDICTIONS BASED ON ECONOMETRIC MODELS
Simionescu, Mihaela - In: UTMS Journal of Economics 5 (2014) 2, pp. 131-140
-linear model. The Bayesian combinations that used experts’ predictions as priors, when the shrinkage parameter tends to infinite …
Persistent link: https://www.econbiz.de/10011095532
Saved in:
Cover Image
Bayesian forecasts combination to improve the Romanian inflation predictions based on econometric models
Bratu, Mihaela - In: UTMS journal of economics / University of Tourism and … 5 (2014) 2, pp. 131-140
-linear model. The Bayesian combinations that used experts' predictions as priors, when the shrinkage parameter tends to infinite …
Persistent link: https://www.econbiz.de/10010439151
Saved in:
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James–Stein type estimators of variances
Tong, Tiejun; Jang, Homin; Wang, Yuedong - In: Journal of Multivariate Analysis 107 (2012) C, pp. 232-243
In this paper we propose James–Stein type estimators for variances raised to a fixed power by shrinking individual variance estimators towards the arithmetic mean. We derive and estimate the optimal choices of shrinkage parameters under both the squared and the Stein loss functions. Asymptotic...
Persistent link: https://www.econbiz.de/10010576497
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