Short-term forecasting with optimal transport
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Cites work
- A dynamic factor model approach to incorporate big data in state space models for official statistics
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Almost sure convergence of Titterington's recursive estimator for mixture models
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- Computational optimal transport. With applications to data sciences
- Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three-pass regression filter
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- Identification and Bayesian Estimation of Dynamic Factor Models
- Incorporating short data into large mixed-frequency vector autoregressions for regional nowcasting
- Machine Learning Time Series Regressions With an Application to Nowcasting
- Maximum Likelihood "Confirmatory" Factor Analysis of Economic Time Series
- Nowcasting in a pandemic using non-parametric mixed frequency VARs
- Nowcasting monthly GDP with big data: a model averaging approach
- Nowcasting with large Bayesian vector autoregressions
- On the translocation of masses
- On-line expectation-maximization algorithm for latent data models
- Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
- Recursive EM and SAGE-inspired algorithms with application to DOA estimation
- Seismonomics: listening to the heartbeat of the economy
- Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
- UK regional nowcasting using a mixed frequency vector auto-regressive model with entropic tilting
- Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
- Using Survey Information for Improving the Density Nowcasting of U.S. GDP
- When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage
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