Blar i Norges Banks vitenarkiv på forfatter "Koopman, Siem Jan"
-
Partially Censored Posterior for robust and efficient risk evaluation
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan; van Dijk, Herman K. (Working Paper;12/2019, Working paper, 2019)A novel approach to inference for a specific region of the predictive distribution is introduced. An important domain of application is accurate prediction of financial risk measures, where the area of interest is the left ...