Particle Learning for Fat-Tailed Distributions
نویسندگان
چکیده
منابع مشابه
Particle Learning for Fat-tailed Distributions
It is well-known that parameter estimates and forecasts are sensitive to assumptions about the tail behavior of the error distribution. In this paper we develop an approach to sequential inference that also simultaneously estimates the tail of the accompanying error distribution. Our simulation-based approach models errors with a tν-distribution and, as new data arrives, we sequentially compute...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2015
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2015.1092809