Partially Censored Posterior for robust and efficient risk evaluation
Year of publication: |
2019
|
---|---|
Authors: | Borowska, Agnieszka ; Hoogerheide, Lennart ; Koopman, Siem Jan |
Publisher: |
Oslo : Norges Bank |
Subject: | Bayesian inference | censored likelihood | censored posterior | partially censored posterior | misspecification | density forecasting | Markov chain Monte Carlo | importance sampling | mixture of Student's t | Value-at-Risk | Expected Shortfall |
Series: | Working Paper ; 12/2019 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
ISBN: | 978-82-8379-107-5 |
Other identifiers: | 169822964X [GVK] hdl:10419/246093 [Handle] hdl:11250/2652684 [Handle] |
Source: |
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