Blar i Norges Banks vitenarkiv på emneord "Kullback-Leibler information criterion"
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Weights and Pools for a Norwegian Density Combination
(Working Papers;6/2010, Working paper, 2010)We apply a suite of models to produce quasi-real-time density forecasts of Norwegian GDP and inflation, and evaluate different combination and selection methods using the Kullback-Leibler information criterion (KLIC). We ...