Modelling long-term investment returns via Bayesian infinite mixture time series models (Q3077721): Difference between revisions
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Revision as of 09:34, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling long-term investment returns via Bayesian infinite mixture time series models |
scientific article |
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Modelling long-term investment returns via Bayesian infinite mixture time series models (English)
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22 February 2011
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Bayesian MAR models
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Bayesian mixture AR-ARCH models
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weighted Chinese restaurant process
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clustering of returns
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outliers detection
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Dirichlet prior process
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quantile-based risk measures
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conditional tail expectation
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