Browsing BI Open by Author "Corradin, Fausto"
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A scoring rule for factor and autoregressive models under misspecification
Ravazzolo, Francesco; Casarin, Roberto; Corradin, Fausto; Sartore, Domenico (Journal article; Peer reviewed, 2020)Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which can be easily estimated and used in a large dimensional setting, is multivariate autoregressive models ...