Wasserstein index generation model: automatic generation of time-series index with application to economic policy uncertainty

DOI10.1016/J.ECONLET.2019.108874zbMath1429.91248arXiv1908.04369OpenAlexW2967666852MaRDI QIDQ2292829

Fangzhou Xie

Publication date: 5 February 2020

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.04369

zbMATH Keywords

singular value decomposition (SVD)economic policy uncertainty index (EPU)Wasserstein dictionary learning (WDL)Wasserstein index generation model (WIG)

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Uses Software

• word2vec
• PyTorch
• Adam

Cites Work

• Unnamed Item
• Developing news-based economic policy uncertainty index with unsupervised machine learning
• 10.1162/jmlr.2003.3.4-5.993
• Wasserstein Dictionary Learning: Optimal Transport-Based Unsupervised Nonlinear Dictionary Learning

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