Matches in SemOpenAlex for { <https://semopenalex.org/work/W3209314050> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W3209314050 abstract "In many fields where the main goal is to produce sequential forecasts for decision making problems, the good understanding of the contemporaneous relations among different series is crucial for the estimation of the covariance matrix. In recent years, the modified Cholesky decomposition appeared as a popular approach to covariance matrix estimation. However, its main drawback relies on the imposition of the series ordering structure. In this work, we propose a highly flexible and fast method to deal with the problem of ordering uncertainty in a dynamic fashion with the use of Dynamic Order Probabilities. We apply the proposed method in two different forecasting contexts. The first is a dynamic portfolio allocation problem, where the investor is able to learn the contemporaneous relationships among different currencies improving final decisions and economic performance. The second is a macroeconomic application, where the econometrician can adapt sequentially to new economic environments, switching the contemporaneous relations among macroeconomic variables over time." @default.
- W3209314050 created "2021-11-08" @default.
- W3209314050 creator A5019321756 @default.
- W3209314050 creator A5068729286 @default.
- W3209314050 date "2021-11-01" @default.
- W3209314050 modified "2023-09-26" @default.
- W3209314050 title "Dynamic Ordering Learning in Multivariate Forecasting" @default.
- W3209314050 hasPublicationYear "2021" @default.
- W3209314050 type Work @default.
- W3209314050 sameAs 3209314050 @default.
- W3209314050 citedByCount "0" @default.
- W3209314050 crossrefType "posted-content" @default.
- W3209314050 hasAuthorship W3209314050A5019321756 @default.
- W3209314050 hasAuthorship W3209314050A5068729286 @default.
- W3209314050 hasConcept C10138342 @default.
- W3209314050 hasConcept C105795698 @default.
- W3209314050 hasConcept C11413529 @default.
- W3209314050 hasConcept C119857082 @default.
- W3209314050 hasConcept C121332964 @default.
- W3209314050 hasConcept C124681953 @default.
- W3209314050 hasConcept C126255220 @default.
- W3209314050 hasConcept C143724316 @default.
- W3209314050 hasConcept C149782125 @default.
- W3209314050 hasConcept C151730666 @default.
- W3209314050 hasConcept C158693339 @default.
- W3209314050 hasConcept C161584116 @default.
- W3209314050 hasConcept C162324750 @default.
- W3209314050 hasConcept C178650346 @default.
- W3209314050 hasConcept C182306322 @default.
- W3209314050 hasConcept C185142706 @default.
- W3209314050 hasConcept C18903297 @default.
- W3209314050 hasConcept C2780821815 @default.
- W3209314050 hasConcept C33923547 @default.
- W3209314050 hasConcept C34727166 @default.
- W3209314050 hasConcept C41008148 @default.
- W3209314050 hasConcept C62520636 @default.
- W3209314050 hasConcept C86803240 @default.
- W3209314050 hasConceptScore W3209314050C10138342 @default.
- W3209314050 hasConceptScore W3209314050C105795698 @default.
- W3209314050 hasConceptScore W3209314050C11413529 @default.
- W3209314050 hasConceptScore W3209314050C119857082 @default.
- W3209314050 hasConceptScore W3209314050C121332964 @default.
- W3209314050 hasConceptScore W3209314050C124681953 @default.
- W3209314050 hasConceptScore W3209314050C126255220 @default.
- W3209314050 hasConceptScore W3209314050C143724316 @default.
- W3209314050 hasConceptScore W3209314050C149782125 @default.
- W3209314050 hasConceptScore W3209314050C151730666 @default.
- W3209314050 hasConceptScore W3209314050C158693339 @default.
- W3209314050 hasConceptScore W3209314050C161584116 @default.
- W3209314050 hasConceptScore W3209314050C162324750 @default.
- W3209314050 hasConceptScore W3209314050C178650346 @default.
- W3209314050 hasConceptScore W3209314050C182306322 @default.
- W3209314050 hasConceptScore W3209314050C185142706 @default.
- W3209314050 hasConceptScore W3209314050C18903297 @default.
- W3209314050 hasConceptScore W3209314050C2780821815 @default.
- W3209314050 hasConceptScore W3209314050C33923547 @default.
- W3209314050 hasConceptScore W3209314050C34727166 @default.
- W3209314050 hasConceptScore W3209314050C41008148 @default.
- W3209314050 hasConceptScore W3209314050C62520636 @default.
- W3209314050 hasConceptScore W3209314050C86803240 @default.
- W3209314050 hasLocation W32093140501 @default.
- W3209314050 hasOpenAccess W3209314050 @default.
- W3209314050 hasPrimaryLocation W32093140501 @default.
- W3209314050 hasRelatedWork W1038615391 @default.
- W3209314050 hasRelatedWork W1528001877 @default.
- W3209314050 hasRelatedWork W1655284544 @default.
- W3209314050 hasRelatedWork W2026591027 @default.
- W3209314050 hasRelatedWork W2065568754 @default.
- W3209314050 hasRelatedWork W2147006548 @default.
- W3209314050 hasRelatedWork W2188480449 @default.
- W3209314050 hasRelatedWork W2309452438 @default.
- W3209314050 hasRelatedWork W2594648966 @default.
- W3209314050 hasRelatedWork W2751156875 @default.
- W3209314050 hasRelatedWork W3037186135 @default.
- W3209314050 hasRelatedWork W3038970853 @default.
- W3209314050 hasRelatedWork W3106210107 @default.
- W3209314050 hasRelatedWork W3118913808 @default.
- W3209314050 hasRelatedWork W3122234063 @default.
- W3209314050 hasRelatedWork W3124144027 @default.
- W3209314050 hasRelatedWork W3157337428 @default.
- W3209314050 hasRelatedWork W88252626 @default.
- W3209314050 hasRelatedWork W2308217030 @default.
- W3209314050 isParatext "false" @default.
- W3209314050 isRetracted "false" @default.
- W3209314050 magId "3209314050" @default.
- W3209314050 workType "article" @default.