Partially censored posterior for robust and efficient risk evaluation

Borowska, A. , Hoogerheide, L., Koopman, S. J. and van Dijk, H. K. (2019) Partially censored posterior for robust and efficient risk evaluation. Journal of Econometrics, (Accepted for Publication)

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Abstract

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Item Type:Articles
Keywords:Bayesian inference, censored likelihood, censored posterior, partially censored posterior, misspecification, density forecasting, Markov chain Monte Carlo, importance sampling, mixture of Student's t, Value-at-Risk, Expected Shortfall.
Status:Accepted for Publication
Refereed:Yes
Glasgow Author(s) Enlighten ID:Borowska, Dr Agnieszka
Authors: Borowska, A., Hoogerheide, L., Koopman, S. J., and van Dijk, H. K.
College/School:College of Science and Engineering > School of Mathematics and Statistics > Statistics
Journal Name:Journal of Econometrics
Publisher:Elsevier
ISSN:0304-4076
ISSN (Online):1872-6895

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