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Probability forecast combination via entropy regularized Wasserstein distance
Cumings-Menon, Ryan; Shin, Minchul - 2020 - Revised August 2020
Persistent link: https://www.econbiz.de/10012372954
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Probability Forecast Combination Via Entropy Regularized Wasserstein Distance
Cumings-Menon, Ryan; Shin, Minchul - 2020
We propose probability and density forecast combination methods that are defined using the entropy regularized … how the entropy regularization can improve the quality of predictive density relative to its unregularized counterpart …
Persistent link: https://www.econbiz.de/10014094578
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Sum-of-the-parts revised : economic regimes and flexible probabilities
Haase, Felix - 2024 - First Draft: September 9, 2024
conditional and mixture densities as view generators. We use entropy pooling to re-weight the historical distribution to derive …
Persistent link: https://www.econbiz.de/10015062491
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Optimal probabilistic forecasts : when do they work?
Martin, Gael M.; Loiza-Maya, Ruben; Frazier, David T.; … - 2020
Persistent link: https://www.econbiz.de/10012610795
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Probabilistic bounded relative error property for learning rare event simulation techniques
Ridder, Ad; Tuffin, Bruno - 2012
Persistent link: https://www.econbiz.de/10009722965
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Measurement Invariance, Entropy, and Probability
Frank, Steven A. - 2011
distribution of observations taken from that measurement scale. Our approach extends the method of maximum entropy to use … entropy provides a general approach to the relations between measurement, information and probability …
Persistent link: https://www.econbiz.de/10013117534
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(Generalized) maximum cumulative direct, paired, and residual π entropy principle
Klein, Ingo - 2017
Jaynes (1957a,b) formulates the maximum entropy (ME) principle as the search for a distribution maximizing a given … entropy under some given constraints. Kapur (1984) and Kesavan & Kapur (1989) introduce the generalized maximum entropy … principle as the derivation of an entropy for which a given distribution has the maximum entropy property under some given …
Persistent link: https://www.econbiz.de/10011761132
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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011298898
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An empirical analysis for the prediction of a financial crisis in Turkey through the use of forecast error measures
Cavdar, Seyma Caliskan; Aydin, Alev Dilek - In: Journal of risk and financial management : JRFM 8 (2015) 3, pp. 337-354
absolute percentage error (MAPE), symmetric mean absolute percentage error (sMAPE), and Shannon entropy (SE), clearly …
Persistent link: https://www.econbiz.de/10011545129
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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543