2 papers
stat.ME2026
Sequentially valid inference for probabilistic inflation forecasts
Amadeo Grob, Maurizio Daniele, Johanna Ziegel
Traditional statistical tests are poorly suited for the sequential evaluation of probabilistic forecast calibration. We address this limitation in macroeconomic forecasting by appl…
stat.ML2022
Deep Learning Based Residuals in Non-linear Factor Models: Precision Matrix Estimation of Returns with Low Signal-to-Noise Ratio
Mehmet Caner, Maurizio Daniele
This paper introduces a consistent estimator and rate of convergence for the precision matrix of asset returns in large portfolios using a non-linear factor model within the deep l…