Browsing Norges Banks vitenarkiv by Subject "large set of predictive densities"
Now showing items 1-1 of 1
-
Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
(Working Papers;12/2015, Working paper, 2015)A Bayesian nonparametric predictive model is introduced to construct time-varying weighted combinations of a large set of predictive densities. A clustering mechanism allocates these densities into a smaller number of ...