1. Dynamic Density Combination
Methodological Paper
Time-varying combinations of predictive densities using nonlinear filtering
Paper Software
Parallel Sequential Monte Carlo for
Efficient Density Combination:
The Deco Matlab Toolbox
Toolbox Description
Introduction to the DeCo MATLAB Toolbox
Code
Zip with m-files
2. Dynamic Density Combination for Large Datasets
Methodological Paper
A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
Code
Zip with m-files