Alexander Georges Gretener
Biographic Data
| ID | 9678802 |
|---|---|
| NAME | Alexander Georges Gretener |
| GIVEN NAMES | Alexander Georges |
| FAMILY NAME | Gretener |
| SIGNATURE | GRETENER A G |
| AFFILIATIONS | Institute for Quantitative Business and Economics Research University of Kiel Kiel Germany |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2025 |
| LATEST PUBLICATION YEAR | 2025 |
| H-INDEX | 0 |
Dynamic Mixture Vector Autoregressions With Score‐Driven Weights
We propose a novel dynamic mixture vector autoregressive (VAR) model where the time‐varying mixture weights are driven by the predictive likelihood score. Intuitively, the weight of a component VAR model is increased in the subsequent period if the current observation is more likely to be drawn from this state. The model is not limited to a specific distributional assumption and allows for straightforward likelihood‐based estimation and inference…
No prominent works on this page.
Dynamic Mixture Vector Autoregressions With Score‐Driven Weights
We propose a novel dynamic mixture vector autoregressive (VAR) model where the time‐varying mixture weights are driven by the predictive likelihood score. Intuitively, the weight of a component VAR model is increased in the subsequent period if the current observation is more likely to be drawn from this state. The model is not limited to a specific distributional assumption and allows for straightforward likelihood‐based estimation and inference…
Bayesian Methods and Mixture Models (1 work) · Computer Science (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Mathematics (1 work) · Statistical Distribution Estimation and Applications (1 work) · Statistics (1 work) · Vector autoregression (1 work)