메뉴 건너뛰기




Volumn 91, Issue 2, 2001, Pages 55-66

Minimax estimation and forecasting in a stationary autoregression model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0010326488     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.91.2.55     Document Type: Article
Times cited : (8)

References (14)
  • 3
    • 0001143199 scopus 로고
    • Stochastic differential utility
    • March
    • Duffie, Darrell and Epstein, Larry G. "Stochastic Differential Utility." Econometrica, March 1992, 60(2), pp. 353-94.
    • (1992) Econometrica , vol.60 , Issue.2 , pp. 353-394
    • Duffie, D.1    Epstein, L.G.2
  • 4
    • 0003430431 scopus 로고    scopus 로고
    • A weak convergence approach to the theory of large deviations
    • New York: Wiley
    • Dupuis, Paul and Ellis, Richard S. A weak convergence approach to the theory of large deviations, Wiley Series in Probability and Statistics. New York: Wiley, 1997.
    • (1997) Wiley Series in Probability and Statistics
    • Dupuis, P.1    Ellis, R.S.2
  • 6
    • 0000842941 scopus 로고
    • Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework
    • July
    • Epstein, Larry G. and Zin, Stanley E. "Substitution, Risk Aversion and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework." Econometrica, July 1989, 57(4), pp. 937-69.
    • (1989) Econometrica , vol.57 , Issue.4 , pp. 937-969
    • Epstein, L.G.1    Zin, S.E.2
  • 7
    • 0000097584 scopus 로고
    • On the existence of value functions of two-player, zero sum stochastic differential games
    • Summer
    • Fleming, W. H. and Souganidis, P. E. "On the Existence of Value Functions of Two-Player, Zero Sum Stochastic Differential Games." Indiana University Mathematics Journal, Summer 1989, 38(2), pp. 293-314.
    • (1989) Indiana University Mathematics Journal , vol.38 , Issue.2 , pp. 293-314
    • Fleming, W.H.1    Souganidis, P.E.2
  • 8
    • 0001266334 scopus 로고
    • Maxmin expected utility with non-unique prior
    • Gilboa, Itzhak and Schmeidler, David. "Maxmin Expected Utility with Non-Unique Prior." Journal of Mathematical Economics, 1989, 18(2), pp. 141-53.
    • (1989) Journal of Mathematical Economics , vol.18 , Issue.2 , pp. 141-153
    • Gilboa, I.1    Schmeidler, D.2
  • 9
    • 0029304830 scopus 로고
    • Discounted linear exponential quadratic Gaussian control
    • May
    • Hansen, Lars Peter and Sargent, Thomas. "Discounted Linear Exponential Quadratic Gaussian Control." IEEE Transactions on Automatic Control, May 1995, 40(5), pp. 968-71.
    • (1995) IEEE Transactions on Automatic Control , vol.40 , Issue.5 , pp. 968-971
    • Hansen, L.P.1    Sargent, T.2
  • 11
    • 0001028301 scopus 로고    scopus 로고
    • Robust permanent income and pricing
    • October
    • Hansen, Lars Peter; Sargent, Thomas and Tallarini, Thomas. "Robust Permanent Income and Pricing." Review of Economic Studies, October 1999, 66(4), pp. 873-907.
    • (1999) Review of Economic Studies , vol.66 , Issue.4 , pp. 873-907
    • Hansen, L.P.1    Sargent, T.2    Tallarini, T.3
  • 14
    • 0033722291 scopus 로고    scopus 로고
    • Minimax optimal control of stochastic uncertain systems with relative entropy constraints
    • March
    • Peterson, I. R.; James, M. R. and Dupuis, P. "Minimax Optimal Control of Stochastic Uncertain Systems with Relative Entropy Constraints." IEEE Transactions on Automatic Control, March 2000, 45(3), pp. 398-412.
    • (2000) IEEE Transactions on Automatic Control , vol.45 , Issue.3 , pp. 398-412
    • Peterson, I.R.1    James, M.R.2    Dupuis, P.3


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.