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Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts

Rusticelli, Elena - 2012

The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...

Persistent link: https://www.econbiz.de/10009690936

Tools for monitoring robust regression in SAS IML studio : S, MM, LTS, LMS and especially the forward search

Torti, Francesca; Perrotta, Domenico; Atkinson, Anthony C. - Europäische Kommission / Gemeinsame Forschungsstelle - 2020

Persistent link: https://www.econbiz.de/10012289398

Weak convergence for the covariance operators of a Hilbertian linear process

Mas, André - 2000

Persistent link: https://www.econbiz.de/10001530299

Kernel based nonlinear canonical analysis and time reversibility

Darolles, Serge; Florens, Jean-Pierre; Gouriéroux, … - 2000

Persistent link: https://www.econbiz.de/10001487993

Large and moderate deviations principles for infinite dimensional autoregressive processes

Mas, André; Menneteau, Ludovic - 2001

Persistent link: https://www.econbiz.de/10001577502

Stochastic model development and price volatility analysis

Taya, Shinichi - 2012

production in different countries is deemed as one of the factors of the price spike in 2007/08, the contribution of correlation … of yield shocks to price volatility is measured. This paper shows that correlation effects account for a significant …

Persistent link: https://www.econbiz.de/10009683293