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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011373810
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Real-time state-space method for computing smoothed estimates of future revisions of U.S. monthly chained CPI
Zadrozny, Peter A. - 2016
Well known CPI of urban consumers is never revised. Recently initiated chained CPI is initially released every month (ICPI), for that month without delay within BLS and for the previous month with one month delay to the public. Final estimates of chained CPI (FCPI) are released every February...
Persistent link: https://www.econbiz.de/10011474973
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Covered interest parity : a stochastic volatility approach to estimate the neutral band
Hernández, Juan Ramón - 2020
The neutral band is the interval where deviations from Covered Interest Parity (CIP) are not considered meaningful arbitrage opportunities. The band is determined by transaction costs and risk associated to arbitrage. Seemingly large deviations from CIP in the foreign exchange markets for the US...
Persistent link: https://www.econbiz.de/10012195198
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The Gibbs Sampler with Particle Efficient Importance Sampling for State-Space Models
Grothe, Oliver - 2017
We consider Particle Gibbs (PG) as a tool for Bayesian analysis of non-linear non-Gaussian state-space models. PG is a Monte Carlo (MC) approximation of the standard Gibbs procedure which uses sequential MC (SMC) importance sampling inside the Gibbs procedure to update the latent and potentially...
Persistent link: https://www.econbiz.de/10012970355
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A mortality model for multi-populations : a semi-parametric approach
Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016
Mortality is different across countries, states and regions. Several empirical research works however reveal that … mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality … the empirical findings, we make the study of estimating and forecasting mortality rates based on a semi …
Persistent link: https://www.econbiz.de/10011489251
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State-Observation Sampling and the Econometrics of Learning Models
Calvet, Laurent E. - 2013
In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically (e.g. Gordon et al. 1993). This condition need not hold in complex environments, such as the...
Persistent link: https://www.econbiz.de/10013093423
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David - 2009
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH models. These models are widespread and essential tools in financial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique....
Persistent link: https://www.econbiz.de/10013156202
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Mortality forecasting using a Lexis-based state-space model
Andersson, Patrik; Lindholm, Mathias - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 3, pp. 519-548
Persistent link: https://www.econbiz.de/10012656701
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A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting
Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389
Persistent link: https://www.econbiz.de/10011820669
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Mauricio - 2018
During the year 2016, the Central Bank of Argentina has begun to announce inflation targets. In this context, providing the authorities of good estimates of relevant macroeconomic variables turns out to be crucial to make the pertinent corrections to reach the desired policy goals. This paper...
Persistent link: https://www.econbiz.de/10011846246