26 citations · 45 across the 6 of their papers we have counts for
4 papers · 1 filter
GARCH density and functional forecasts
Karim M. Abadir, Alessandra Luati, Paolo Paruolo
This paper derives the analytic form of the -step ahead prediction density of a GARCH(1,1) process under Gaussian innovations, with a possibly asymmetric news impact curve. The…
An approximate quantum Cramér--Rao bound based on skew information
Alessandra Luati
A closed-form expression for Wigner-Yanase skew information in mixed-state quantum systems is derived. It is shown that limit values of the mixing coefficients exist such that Wign…
On the Spectral Properties of Matrices Associated with Trend Filters
Alessandra Luati, Tommaso Proietti
This paper is concerned with the spectral properties of matrices associated with linear filters for the estimation of the underlying trend of a time series. The interest lies in th…
Maximum Fisher information in mixed state quantum systems
Alessandra Luati
We deal with the maximization of classical Fisher information in a quantum system depending on an unknown parameter. This problem has been raised by physicists, who defined [Helstr…