Kullback-Leibler-based characterizations of score-driven updates
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- Ramon de Punder & Timo Dimitriadis & Rutger-Jan Lange, 2024. "Kullback-Leibler-based characterizations of score-driven updates," Papers 2408.02391, arXiv.org, revised Sep 2024.
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More about this item
Keywords
generalized autoregressive score (GAS); dynamic conditional score (DCS); Kullback Leibler; censoring; scoring rule; divergence;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2024-09-30 (Econometric Time Series)
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