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

DOI10.1002/sam.10114OpenAlexW2151145152MaRDI 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 smoothingvalue-at-riskhigh-frequency databarycentersymbolic data

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Related Items

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

Uses Software

• CAViaR
• EMD
• RiskMetrics

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