Blar i Scientific articles på emneord "Density combination"

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    • A flexible predictive density combination for large financial data sets in regular and crisis periods 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Peer reviewed; Journal article, 2023)
      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 ...

    • Nowcasting GDP in real time: a density combination approach 

      Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; Thorsrud, Leif Anders (Journal article; Peer reviewed, 2014)
      In this paper, we use U.S. real-time data to produce combined density nowcasts of quarterly GDP growth, using a system of three commonly used model classes. We update the density nowcast for every new data release ...