Combining different models

DOI10.1007/S11579-017-0198-8zbMath1404.91250OpenAlexW2748739867MaRDI QIDQ1702881

L. C. G. Rogers

Publication date: 1 March 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://www.repository.cam.ac.uk/handle/1810/266513

zbMATH Keywords

Bayescombinationmodelentropy minimizationmarginal

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Portfolio theory (91G10)

Cites Work

• A short proof of the Doob-Meyer theorem
• Optimal prediction pools
• An overview of the estimation of large covariance and precision matrices
• Unnamed Item

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