Blar i Norges Banks vitenarkiv på emneord "large set of predictive densities"
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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 ...