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Fast efficient importance sampling by state space methods

Koopman, Siem Jan; Nguyen, Thuy Minh - 2012

Persistent link: https://www.econbiz.de/10009722707

A forty year assessment of forecasting the boat race

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722947

The impact of effect size heterogeneity on meta-analysis : a Monte Carlo experiment

Koetse, Mark J.; Florax, Raymond J. G. M.; Groot, Henri … - 2007

Persistent link: https://www.econbiz.de/10003644178

Likelihood-based analysis for dynamic factor models

Jungbacker, Borus; Koopman, Siem Jan - 2008

Persistent link: https://www.econbiz.de/10003645197

An hourly periodic state space model for modelling French national electricity load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008

Persistent link: https://www.econbiz.de/10003645204

Likelihood functions for state space models with diffuse initial conditions

Francke, Marc K.; Koopman, Siem Jan; Vos, Aart F. de - 2008

Persistent link: https://www.econbiz.de/10003706020

Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006

Persistent link: https://www.econbiz.de/10003408447

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

Persistent link: https://www.econbiz.de/10003408454

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

Persistent link: https://www.econbiz.de/10003115944

A Bayesian dynamic compositional model for large density combinations in finance

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2021

A Bayesian dynamic compositional model is introduced that can deal with combining a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing for combination weight dependence across models and time. A compositional model with...

Persistent link: https://www.econbiz.de/10012431874