Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. T...

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Bibliographic Details
Main Authors: Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. van Dijk
Format: Article
Language:English
Published: Foundation for Open Access Statistics 2015-11-01
Series:Journal of Statistical Software
Subjects:
density forecast combination
sequential Monte Carlo
parallel computing
GPU
MATLAB
Online Access:https://www.jstatsoft.org/index.php/jss/article/view/1135

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