BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//CREST - ECPv5.1.3//NONSGML v1.0//EN
CALSCALE:GREGORIAN
METHOD:PUBLISH
X-WR-CALNAME:CREST
X-ORIGINAL-URL:https://crest.science
X-WR-CALDESC:Events for CREST
BEGIN:VTIMEZONE
TZID:Europe/Helsinki
BEGIN:DAYLIGHT
TZOFFSETFROM:+0200
TZOFFSETTO:+0300
TZNAME:EEST
DTSTART:20230326T010000
END:DAYLIGHT
BEGIN:STANDARD
TZOFFSETFROM:+0300
TZOFFSETTO:+0200
TZNAME:EET
DTSTART:20231029T010000
END:STANDARD
END:VTIMEZONE
BEGIN:VEVENT
DTSTART;TZID=Europe/Helsinki:20230511T113000
DTEND;TZID=Europe/Helsinki:20230511T123000
DTSTAMP:20260711T072018
CREATED:20230425T063433Z
LAST-MODIFIED:20230426T035835Z
UID:14894-1683804600-1683808200@crest.science
SUMMARY:Pierluigi VALLARINO (Aarhus University) "Time-Varying Kernel Densities as Dynamic Infinite Mixture Models"
DESCRIPTION:Finance & Financial Econometrics: \nTime: 11.30 am\nDate: 11th of May 2023\nRoom 3001 \nPierluigi VALLARINO (Aarhus University) “Time-Varying Kernel Densities as Dynamic Infinite Mixture Models” \nAbstract : Building on kernel density estimation for time series data\, we introduce the family of Dynamic Infinite Mixture Models (DIMMs). DIMMs approximate the time-varying distribution of a time series with that of an infinite mixture of location-scale random variables. Different specifications of a DIMM can capture different features of the time series of interest\, such as different memory properties of the predictive mean and asymmetric effects in the predictive variance. A maximum likelihood estimator is proposed. Its asymptotic properties are studied under a fully misspecified setting and its finite sample behaviour is assessed in a Monte Carlo analysis. An application to US GDP growth shows that DIMMs: i) improve upon extant kernel density approaches for time series data; ii) reliably track the time-varying distribution of interest; iii) perform on par with – if not better than – a fully-fledged parametric model when it comes to predicting probability density functions. \nOrganizers:\nJean-Michel ZAKOIAN (CREST) \nSponsors:\nCREST \n
URL:https://crest.science/event/pierluigi-vallarino-aarhus-university-time-varying-kernel-densities-as-dynamic-infinite-mixture-models/
CATEGORIES:Finance-Insurance,Financial Econometrics
ATTACH;FMTTYPE=:
END:VEVENT
END:VCALENDAR