Combining VAR Forecast Densities Using Fast Fourier Transform
نویسندگان
چکیده
منابع مشابه
Combining Var Forecast Densities Using Fast Fourier Transform
In this paper, I propose the use of fast Fourier transform (FFT) as a convenienttool for combining forecast densities of vector autoregressive models in a hybrid Bayesianmanner. While a vast amount of papers comprises combinations based on normal approxi-mations, Monte Carlo methods were fully utilized here, which made the analysis computa-tionally demanding. For the sake of min...
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ژورنال
عنوان ژورنال: Acta Oeconomica Pragensia
سال: 2010
ISSN: 0572-3043,1804-2112
DOI: 10.18267/j.aop.318