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econ.EM2026
The Generalized Fisher Transformation: Finite-Sample Properties and Inference
Ilya Archakov, Peter Reinhard Hansen
We study the finite-sample behavior of the Generalized Fisher Transformation (GFT), the parametrization of a correlation matrix by . The GFT coo…
econ.EM2026
Tweedie's Formula and Score-Driven Updating
Peter Reinhard Hansen, Chen Tong
Score-driven models update time-varying parameters using conditional likelihood scores. This paper develops a Bayesian interpretation of such updates through Tweedie's formula, whi…