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Berry-Esseen bounds
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Breuer-Major central limit theorems
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Gaussian processes
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Interpolation
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Malliavin calculus
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Multivariate Stirling interpolation
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Non-linear DSGE models
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Andreasen, Martin Møller
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Nourdin, Ivan
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Peccati, Giovanni
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Podolskij, Mark
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School of Economics and Management, University of Aarhus
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Mathematics and Computers in Simulation (MATCOM)
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Discussion Paper / Tilburg University, Center for Economic Research
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Physica A: Statistical Mechanics and its Applications
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European journal of operational research : EJOR
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Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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2013 Annual Meeting, August 4-6, 2013, Washington, D.C.
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Asia-Pacific Journal of Operational Research (APJOR)
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Computing in Economics and Finance 2002
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Quantitative Breuer-Major Theorems
Nourdin, Ivan
;
Peccati, Giovanni
;
Podolskij, Mark
-
School of Economics and Management, University of Aarhus
-
2010
$ is a sufficiently smooth test function. Our methods are based on Malliavin calculus, on
interpolation
techniques and on …
Persistent link: https://www.econbiz.de/10008552197
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2
Non-linear DSGE Models, The Central Difference Kalman Filter, and The Mean Shifted Particle Filter
Andreasen, Martin Møller
-
School of Economics and Management, University of Aarhus
-
2008
This paper shows how non-linear DSGE models with potential non-normal shocks can be estimated by Quasi-Maximum Likelihood based on the Central Difference Kalman Filter (CDKF). The advantage of this estimator is that evaluating the quasi log-likelihood function only takes a fraction of a second....
Persistent link: https://www.econbiz.de/10005787550
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