Efficient VAR discretization (Q2036961)

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scientific article

Language	Label	Description	Also known as
English	Efficient VAR discretization	scientific article

Statements

scholarly article

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Efficient VAR discretization (English)

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Economics Letters

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publication date

30 June 2021

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full work available at URL

https://www.richmondfed.org/-/media/richmondfedorg/publications/research/working_papers/2020/wp20-06.pdf

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zbMATH Keywords

vector autoregressive (VAR) models

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discretization

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sparse grids

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Discretizing nonlinear, non-Gaussian Markov processes with exact conditional moments

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Nonlinear adventures at the zero lower bound

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A note on the accuracy of Markov-chain approximations to highly persistent AR(1) processes

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Fully symmetric interpolatory rules for multiple integrals over infinite regions with Gaussian weight

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On Information and Sufficiency

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Merging simulation and projection approaches to solve high-dimensional problems with an application to a new Keynesian model

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Discrete approximations of continuous distributions by maximum entropy

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Discretizing Distributions with Exact Moments: Error Estimate and Convergence Analysis

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Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

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Identifiers

zbMATH Open document ID

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10.1016/j.econlet.2021.109872

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2036961

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