Smoothing methods for histogram‐valued time series: an application to value‐at‐risk

DOI10.1002/sam.10114MaRDI QIDQ4969763

Javier Arroyo, Antonio Muñoz San Roque, Gloria González-Rivera, Carlos Maté

Publication date: 14 October 2020

Published in: Statistical Analysis and Data Mining: The ASA Data Science Journal (Search for Journal in Brave)

Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/201433.pdf

zbMATH Keywords

exponential smoothing; value-at-risk; high-frequency data; barycenter; symbolic data

Mathematics Subject Classification ID

62-XX: Statistics

68-XX: Computer science

Related Items

Dynamic quantile function models, Combining endogenous and exogenous variables in a special case of non-parametric time series forecasting model, Discriminant analysis of distributional data via fractional programming, Analysis of dependent data aggregated into intervals, Network Consensus in the Wasserstein Metric Space of Probability Measures

Uses Software

• CAViaR
• EMD
• RiskMetrics

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