Blar i BI Open på forfatter "Dijk, Herman K. van"
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Time-varying combinations of predictive densities using nonlinear filtering
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; Dijk, Herman K. van (Journal article; Peer reviewed, 2013)We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several speci cations of multivariate time-varying ...