Search Results - subject:"Prequential analysis"

Robust Bayesian methodology with applications in credibility premium derivation and future claim size prediction

Karimnezhad, Ali; Parsian, Ahmad - In: AStA Advances in Statistical Analysis 98 (2014) 3, pp. 287-303

loss. We also perform a prequential analysis and compare the performance of posterior regret gamma minimax predictors …

Persistent link: https://www.econbiz.de/10010998851

Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices

Sancetta, A.; Nikanrova, A. - Faculty of Economics, University of Cambridge - 2005

We consider forecasting and prequential (predictive sequential) validation of meta-elliptical distributions with time varying parameters. Using the weak prequential principle of Dawid, we conduct model validation avoiding nuisance parameters problems. Results rely on the structure of...

Persistent link: https://www.econbiz.de/10005113825

Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions

Sancetta, Alessio; Nikandrova, Arina - In: Journal of Time Series Econometrics 1 (2009) 2

Persistent link: https://www.econbiz.de/10014615131