Infinite Markov pooling of predictive distributions

DOI10.1016/J.JECONOM.2021.10.010MaRDI QIDQ2673184zbMATH OpenOpenAlexFDO

Authors Xin Jin, John M. Maheu, Qiao Yang

Publication date 9 June 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.10.010

zbMATH Keywords

beam samplingdensity forecastDirichlet processinfinite Markov switchingprediction poolsrealized covariance matricesshort-term interest rates

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(2)

• Predictive density combination using Bayesian machine learning
• Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty

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