Blar i Norges Banks vitenarkiv på emneord "density forecast combination"

Viser treff 1-3 av 3

    • Combined Density Nowcasting in an Uncertain Economic Environment 

      Aastveit, Knut Are; Ravazzolo, Francesco; van Dijk, Herman K. (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 

      Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (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 ...

    • Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox 

      Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; van Dijk, Herman K. (Working Papers;11/2014, Working paper, 2014)
      This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive ...