Search Results - subject:"soft‐thresholding"

Predictor preselection for mixed-frequency dynamic factor models : a simulation study with an empirical application to GDP nowcasting

Franjic, Domenic; Schweikert, Karsten - In: Journal of forecasting 44 (2025) 2, pp. 255-269

Persistent link: https://www.econbiz.de/10015374018

Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies : evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis

Hamdi, Besma; Aloui, Mouna; Alqahtani, Faisal; Tiwari, … - In: Energy economics 80 (2019), pp. 536-552

Persistent link: https://www.econbiz.de/10012173684

On the minimax regret estimation of a restricted normal mean, and implications

Droge, Bernd - 2002

Consider estimating the mean of a normal distribution with known variance, when that mean is known to lie in a bounded interval. In a decision-theoretic framework we study finite sample properties of a class of nonlinear' estimators. These estimators are based on thresholding techniques which...

Persistent link: https://www.econbiz.de/10010310533

On the minimax regret estimation of a restricted normal mean, and implications

Droge, Bernd - Sonderforschungsbereich 373, Quantifikation und … - 2002

Persistent link: https://www.econbiz.de/10010956553

Predictor Preselection for Mixed‐Frequency Dynamic Factor Models: A Simulation Study With an Empirical Application to GDP Nowcasting

Franjic, Domenic; Schweikert, Karsten - In: Journal of Forecasting 44, 2, pp. 255-269

ABSTRACT We investigate the performance of dynamic factor model nowcasting with preselected predictors in a mixed‐frequency setting. The predictors are selected via the elastic net as it is common in the targeted predictor literature. A simulation study and an application to empirical data are...

Persistent link: https://www.econbiz.de/10015411044