Partially censored posterior for robust and efficient risk evaluation
Agnieszka Borowska, Lennart Hoogerheide, Siem Jan Koopman, Herman K. van Dijk
| Year of publication: |
2020
|
|---|---|
| Authors: | Borowska, Agnieszka ; Hoogerheide, Lennart ; Koopman, Siem Jan ; Dijk, Herman K. van |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 2, p. 335-355
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| Subject: | Markov chain Monte Carlo | Bayesian inference | Censored likelihood | Censored posterior | Density forecasting | Expected Shortfall | Importance sampling | Misspecification | Mixture of Student’s t | Partially censored posterior | Value-at-Risk | Theorie | Theory | Bayes-Statistik | Statistische Verteilung | Statistical distribution | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Risikomaß | Risk measure | Stichprobenerhebung | Sampling | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.12.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482776