Sökning: "Pär Stockhammar"
Hittade 3 avhandlingar innehållade orden Pär Stockhammar.
1. Some Contributions to Filtering, Modeling and Forecasting of Heteroscedastic Time Series
Sammanfattning : Heteroscedasticity (or time-dependent volatility) in economic and financial time series has been recognized for decades. Still, heteroscedasticity is surprisingly often neglected by practitioners and researchers. This may lead to inefficient procedures. LÄS MER
2. Some Contributions to Heteroscedastic Time Series Analysis and Computational Aspects of Bayesian VARs
Sammanfattning : Time-dependent volatility clustering (or heteroscedasticity) in macroeconomic and financial time series has been analyzed for more than half a century. The inefficiencies it causes in various inference procedures are well known and understood. Despite this, heteroscedasticity is surprisingly often neglected in practical work. LÄS MER
3. Variational Inference of Dynamic Factor Models
Sammanfattning : When we make difficult and crucial decisions, forecasts are powerful and important tools. For that purpose, statistical models can be our most effective aid. Ideally, these models can incorporate large sets of multifaceted data. LÄS MER