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Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Existing methods for data interpolation or backdating are either univariate or based on a very limited number of series, due to data and computing constraints that were binding until the recent past. Nowadays large datasets are readily available, and models with hundreds of parameters are fastly...

Persistent link: https://www.econbiz.de/10009635924

Interpolation and backdating with a large information set

Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano - 2003

Persistent link: https://www.econbiz.de/10009640916

Asymptotic normality of frequency polygons for random fields

Carbon, Michel - 2008

Persistent link: https://www.econbiz.de/10003755840

Credibility theory and filter theory in discrete and continuous time

Maier, Ramona; Merz, Michael - 2008

It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman … filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous … time as well as between credibility theory in a discrete and continuous time setting. …

Persistent link: https://www.econbiz.de/10003839564