P.O. Box 1738
3000 DR Rotterdam
Netherlands
Erasmus University Rotterdam (EUR) - Department of Econometrics
dimension reduction, forecasting, random subspace
Time-Varying Parameter Vector Autoregressive Model, Semi-parametric Bayesian Inference, Dirichlet Process Mixture Model, Hidden Markov Chain, Monetary Policy Analysis, Real-time Forecasting
forecast evaluation, Survey of Professional Forecasters, expert forecast, trend-cycle decomposition, state space modeling, Baxter-King filter
high-dimensional regression, confidence intervals, Moore-Penrose pseudoinverse, random projection, ridge regression
