Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve
暂无分享,去创建一个
[1] Biao Huang,et al. Latent variable modeling and state estimation of non-stationary processes driven by monotonic trends , 2021, Journal of Process Control.
[2] Tonghui Wang,et al. The extended skew-normal-based stochastic frontier model with a solution to ‘wrong skewness’ problem , 2021, Statistics.
[3] M. Bauer,et al. Interest Rate Skewness and Biased Beliefs , 2021, SSRN Electronic Journal.
[4] Stepan Mazur,et al. Vector autoregression models with skewness and heavy tails , 2021, Journal of Economic Dynamics and Control.
[5] Ranik Raaen Wahlstrøm,et al. A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions , 2021, Computational Economics.
[6] P. Schmidt,et al. Evaluating the cdf of the Skew Normal distribution , 2020 .
[7] T. Manouchehri,et al. Periodic autoregressive models with closed skew-normal innovations , 2019, Comput. Stat..
[8] Yan Liu,et al. Reconstructing the Yield Curve , 2019, Journal of Financial Economics.
[9] Javier E. Contreras-Reyes,et al. A skew-normal dynamic linear model and Bayesian forecasting , 2018, Comput. Stat..
[10] Nathaniel A. Throckmorton,et al. The Zero Lower Bound and Estimation Accuracy , 2018, Journal of Monetary Economics.
[11] Adelchi Azzalini,et al. The Skew-Normal and Related Families , 2018 .
[12] L. Kilian,et al. Structural Vector Autoregressive Analysis , 2017 .
[13] Nina Boyarchenko,et al. Vulnerable Growth , 2016, American Economic Review.
[14] Fredrik Gustafsson,et al. Skew-$t$ Filter and Smoother With Improved Covariance Matrix Approximation , 2016, IEEE Transactions on Signal Processing.
[15] Frans de Roon,et al. A Simple Skewed Distribution with Asset Pricing Applications , 2016 .
[16] F. Smets,et al. Challenges for Central Banks' Macro Models , 2016 .
[17] Javad Rezaie,et al. A skewed unscented Kalman filter , 2016, Int. J. Control.
[18] Serena Ng,et al. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? , 2015, American Economic Journal: Macroeconomics.
[19] Frank Schorfheide,et al. Solution and Estimation Methods for DSGE Models , 2015 .
[20] E. Käärik,et al. On Parametrization of Multivariate Skew-Normal Distribution , 2015 .
[21] Peter Schmidt,et al. Consistent estimation of the fixed effects stochastic frontier model , 2014 .
[22] Helio S. Migon,et al. A dynamic linear model with extended skew-normal for the initial distribution of the state parameter , 2014, Comput. Stat. Data Anal..
[23] Francis X. Diebold,et al. Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach , 2013 .
[24] Martin Eling,et al. Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models? , 2012 .
[25] F. Ruge-Murcia. Skewness Risk and Bond Prices , 2012 .
[26] Brunero Liseo,et al. Bayesian inference for the multivariate skew-normal model: A population Monte Carlo approach , 2012, Comput. Stat. Data Anal..
[27] A. Neuberger. Realized Skewness , 2012 .
[28] B. Kłos,et al. Skew-Normal Shocks in the Linear State Space Form DSGE Model , 2011 .
[29] Grigorios Emvalomatis,et al. A Reduced‐Form Model for Dynamic Efficiency Measurement: Application to Dairy Farms in Germany and the Netherlands , 2011 .
[30] Annukka Lehtonen,et al. Modelling psychiatric measures using Skew-Normal distributions , 2010, European Psychiatry.
[31] Jonathan H. Wright,et al. Macroeconomics and the Term Structure , 2010 .
[32] Philippe Naveau,et al. Estimating the closed skew-normal distribution parameters using weighted moments , 2009 .
[33] R. Arellano-Valle,et al. The centred parametrization for the multivariate skew-normal distribution , 2008 .
[34] G. Fagiolo,et al. Are output growth-rate distributions fat-tailed? some evidence from OECD countries , 2008 .
[35] F. Smets,et al. Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach , 2007 .
[36] R. Arellano-Valle,et al. On the Unification of Families of Skew‐normal Distributions , 2006 .
[37] Raluca Vernic. Multivariate skew-normal distributions with applications in insurance , 2006 .
[38] Ananda Sen,et al. Skew-Elliptical Distributions and Their Applications: A Journey Beyond Normality , 2005, Technometrics.
[39] M. Genton,et al. A skewed Kalman filter , 2005 .
[40] Arjun K. Gupta,et al. Additive properties of skew normal random vectors , 2004 .
[41] Arjun K. Gupta,et al. The Closed Skew-Normal Distribution , 2004 .
[42] Glenn D. Rudebusch,et al. The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach , 2004 .
[43] Arjun K. Gupta,et al. A multivariate skew normal distribution , 2004 .
[44] Petros Koumoutsakos,et al. Reducing the Time Complexity of the Derandomized Evolution Strategy with Covariance Matrix Adaptation (CMA-ES) , 2003, Evolutionary Computation.
[45] Cas G. Troskie,et al. The Distribution of Stock Returns When the Market Is Up , 2003 .
[46] F. Diebold,et al. Forecasting the Term Structure of Government Bond Yields , 2002 .
[47] Christopher A. Sims,et al. Matlab Optimization Software , 1999 .
[48] Jeffrey C. Lagarias,et al. Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions , 1998, SIAM J. Optim..
[49] R. E. Donatelli,et al. Time Series Analysis , 1994, Statistics for Environmental Science and Management.
[50] Andrew Harvey,et al. Maximum likelihood estimation of regression models with autoregressive-moving average disturbances , 1979 .
[51] R C Elston,et al. Multifactorial qualitative traits: genetic analysis and prediction of recurrence risks. , 1974, Biometrics.
[52] J. Gallier. Notes on the Schur Complement , 2010 .
[53] A. Siegel,et al. Parsimonious modeling of yield curves , 1987 .
[54] A. Azzalini. A class of distributions which includes the normal ones , 1985 .