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Search: subject:"Kullback-Leibler divergence"
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Kullback-Leibler divergence
69
Theorie
28
Theory
26
Kullback–Leibler divergence
24
Statistische Verteilung
13
Statistical distribution
11
Entropy
10
Estimation theory
10
Schätztheorie
10
Entropie
9
ARCH-Modell
8
Kullback-Leibler Divergence
8
Risikomaß
8
mixture of Student-t distributions
8
Estimation
7
Expectation Maximization
7
Metropolis-Hastings algorithm
7
Prognoseverfahren
7
Risk measure
7
Schätzung
7
ARCH model
6
Bayesian inference
6
Forecasting model
6
Time series analysis
6
Zeitreihenanalyse
6
importance sampling
6
Algorithmus
5
Importance sampling
5
Relative entropy
5
relative entropy
5
Bayes-Statistik
4
Blackwell ordering
4
DCC GARCH
4
Portfolio selection
4
Portfolio-Management
4
Risiko
4
Risk
4
Value at Risk
4
mixture GARCH models
4
predictive likelihoods
4
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Undetermined
55
Free
47
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Article
70
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41
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1
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Working Paper
33
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29
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29
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20
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20
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2
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English
66
Undetermined
46
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Hoogerheide, Lennart
9
Opschoor, Anne
9
Dijk, Herman K. van
7
Blasques, Francisco
4
Cabrales, Antonio
4
Gossner, Olivier
4
Lucas, André
4
Serrano, Roberto
4
Belomestny, Denis
3
Koopman, Siem Jan
3
Mrázová, Monika
3
Neary, J. Peter
3
Parenti, Mathieu
3
Parra-Alvarez, Juan Carlos
3
Polanski, Arnold
3
Posch, Olaf
3
Stoja, Evarist
3
Wang, Mu-Chun
3
Artemova, Mariia
2
Benati, Luca
2
Beutner, Eric A.
2
Blasques, Francisco F.
2
Dudoit, Sandrine
2
Gorgi, Paolo
2
Härdle, Wolfgang
2
Keles, Sunduz
2
Komaki, Fumiyasu
2
Koopman, Siem Jan S.J.
2
Laan, Mark van der
2
Lampert, Timm
2
Li, Yong
2
Lin, Yicong
2
Lubik, Thomas A.
2
Ma, Shujie
2
Millossovich, Pietro
2
Motorin, Vladimir
2
Müller, Karsten
2
Penev, Spiridon
2
Shevchenko, Pavel V.
2
Sibbertsen, Philipp
2
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Tinbergen Instituut
2
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1
Dipartimento di Economia, Università degli Studi di Roma 3
1
Faculty of Economics, University of Cambridge
1
School of Economics, Singapore Management University
1
Tinbergen Institute
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Annals of the Institute of Statistical Mathematics
10
Discussion paper / Tinbergen Institute
6
Tinbergen Institute Discussion Paper
6
Journal of Multivariate Analysis
3
Journal of econometrics
3
Tinbergen Institute Discussion Papers
3
Computational Statistics
2
Computational Statistics & Data Analysis
2
European journal of operational research : EJOR
2
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
2
Journal of Applied Statistics
2
Journal of Econometrics
2
Physica A: Statistical Mechanics and its Applications
2
Psychometrika
2
Statistical Applications in Genetics and Molecular Biology
2
Statistics & Probability Letters
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Applied Economics Letters
1
Applied economics
1
Applied economics letters
1
CESifo Working Paper
1
CESifo working papers
1
CREATES research paper
1
Cambridge Working Papers in Economics
1
Department of Economics discussion paper series / University of Oxford
1
Departmental Working Papers of Economics - University 'Roma Tre'
1
Deutsche Bundesbank Discussion Paper
1
Discussion Papers
1
Discussion paper
1
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
1
Diskussionsschriften / Universität Bern, Departement Volkswirtschaftlehre
1
ESRB Working Paper Series
1
Econometric Reviews
1
Economic theory : official journal of the Society for the Advancement of Economic Theory
1
Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid
1
Economics letters
1
Eurasian Academy Of Sciences Social Sciences Journal
1
Finance and economics discussion series
1
Financial innovation : FIN
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ECONIS (ZBW)
49
RePEc
46
EconStor
15
BASE
1
Other ZBW resources
1
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1
Drawdown-based risk indicators for high-frequency fnancial volumes
D'Amico, Guglielmo
;
Di Basilio, Bice
;
Petroni, Filippo
- In:
Financial innovation : FIN
10
(
2024
),
pp. 1-40
Kullback-Leibler
divergence
. …
Persistent link: https://www.econbiz.de/10014535559
Saved in:
2
Consistency, distributional convergence, and optimality of score-driven filters
Beutner, Eric A.
;
Lin, Yicong
;
Lucas, André
-
2023
We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which minimizes the pointwise KL divergence between the...
Persistent link: https://www.econbiz.de/10014469606
Saved in:
3
Finite-state Markov-chain approximations : a hidden Markov approach
Janssens, Eva
;
McCrary, Sean
-
2023
Persistent link: https://www.econbiz.de/10014384507
Saved in:
4
Consistency, distributional convergence, and optimality of score-driven filters
Beutner, Eric A.
;
Lin, Yicong
;
Lucas, André
-
2023
We study the in-fill asymptotics of score-driven time series models. For general forms of model mis-specification, we show that score-driven filters are consistent for the Kullback-Leibler (KL) optimal time-varying parameter path, which minimizes the pointwise KL divergence between the...
Persistent link: https://www.econbiz.de/10014335568
Saved in:
5
Pseudo-Bayesian updating
Zhao, Chen
- In:
Theoretical Economics
17
(
2022
)
1
,
pp. 253-289
terms of
Kullback-Leibler
divergence
from the probability measures consistent with newly received information. I show that …
Persistent link: https://www.econbiz.de/10013189088
Saved in:
6
Pseudo‐Bayesian updating
Zhao, Chen
- In:
Theoretical economics : TE ; an open access journal in …
17
(
2022
)
1
,
pp. 253-289
terms of
Kullback-Leibler
divergence
from the probability measures consistent with newly received information. I show that …
Persistent link: https://www.econbiz.de/10012806930
Saved in:
7
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
Saved in:
8
Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield
Parnes, Dror
- In:
The North American journal of economics and finance : a …
69
(
2024
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014445532
Saved in:
9
Forecasting in a changing world: from the great recession to the COVID-19 pandemic
Artemova, Mariia
;
Blasques, Francisco
;
Koopman, Siem Jan
; …
-
2021
We develop a new targeted maximum likelihood estimation method that provides improved forecasting for misspecified linear autoregressive models. The method weighs data points in the observed sample and is useful in the presence of data generating processes featuring structural breaks, complex...
Persistent link: https://www.econbiz.de/10012427192
Saved in:
10
Searching for hysteresis
Benati, Luca
;
Lubik, Thomas A.
-
2021
computed based on the actual data via the
Kullback-Leibler
divergence
. Based on two alternative identification schemes …
Persistent link: https://www.econbiz.de/10012625337
Saved in:
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