Blar i Norges Banks vitenarkiv på emneord "Bayesian filtering"
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Combined Density Nowcasting in an Uncertain Economic Environment
(Working Papers;17/2014, Working paper, 2014)We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and ... -
Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data
(Working Papers;29/2010, Working paper, 2010)Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach ...