Showing 1 - 10 of 42,720
Persistent link: https://www.econbiz.de/10012384654
A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...
Persistent link: https://www.econbiz.de/10012431874
A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....
Persistent link: https://www.econbiz.de/10012816959
A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...
Persistent link: https://www.econbiz.de/10013332662
Persistent link: https://www.econbiz.de/10010413629
Persistent link: https://www.econbiz.de/10012437475
Persistent link: https://www.econbiz.de/10014448252
Persistent link: https://www.econbiz.de/10001437383
Persistent link: https://www.econbiz.de/10001407631
This paper constructs individual-specific density forecasts for a panel of firms or households using a dynamic linear model with common and heterogeneous coefficients and cross-sectional heteroskedasticity. The panel considered in this paper features large cross-sectional dimension (N) but short...
Persistent link: https://www.econbiz.de/10012956589