dc.contributor.author | Billio, Monica | |
dc.contributor.author | Casarin, Roberto | |
dc.contributor.author | Ravazzolo, Francesco | |
dc.contributor.author | van Dijk, Herman K. | |
dc.date.accessioned | 2018-05-08T07:10:32Z | |
dc.date.available | 2018-05-08T07:10:32Z | |
dc.date.issued | 2010 | |
dc.identifier.isbn | 978-82-7553-586-1 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2497432 | |
dc.description.abstract | 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 the model set can be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics driven by the past performance of the predictive densities is considered and the use of learning mechanisms. The approach is assessed using statistical and utility-based performance measures forevaluating density forecasts of US macroeconomic time series and of surveys of stock market prices. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;29/2010 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: C11 | nb_NO |
dc.subject | JEL: C15 | nb_NO |
dc.subject | JEL: C53 | nb_NO |
dc.subject | JEL: E37 | nb_NO |
dc.subject | Bayesian filtering | nb_NO |
dc.subject | sequential Monte Carlo | nb_NO |
dc.subject | density forecast combination | nb_NO |
dc.subject | survey forecast | nb_NO |
dc.title | Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 39 | nb_NO |