Credibility Models with Time-Varying Trend Components

Modeling and Forecasting Iranian Inflation with Time Varying BVAR Models

This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

modeling and forecasting iranian inflation with time varying bvar models

this paper investigates the forecasting performance of different time-varying bvar models for iranian inflation. forecast accuracy of a bvar model with litterman’s prior compared with a time-varying bvar model (a version introduced by doan et al., 1984); and a modified time-varying bvar model, where the autoregressive coefficients are held constant and only the deterministic components are allo...

Semiparametric Estimation of Partially Linear Varying Coefficient Models with Time Trend and Nonstationary Regressors

This paper extends the partially linear varying coefficient model to contain time trend and nonstationary variables as regressors. We use the profile likelihood method to estimate both time trend coefficient in the linear component and the functional coefficients in the nonlinear component and establish their asymptotic distributions. Monte Carlo simulations are shown to investigate the finite ...

Components in time-varying graphs

Real complex systems are inherently time-varying. Thanks to new communication systems and novel technologies, today it is possible to produce and analyze social and biological networks with detailed information on the time of occurrence and duration of each link. However, standard graph metrics introduced so far in complex network theory are mainly suited for static graphs, i.e., graphs in whic...

Seasonality with Trend and Cycle Interactions in Unobserved Components Models