Dear all, On Thursday, 26th March, at 12:00 in room A307b, the Department of AI, Data and Decision Sciences of Luiss University of Rome will host a seminar by Alessandra Luati (Imperial College London) Title: "Unobserved components, approximate filters, and dynamic adaptive mixture models” Abstract: State estimation in unobserved component models with parameter uncertainty is traditionally performed through approximate filters, where Gaussian distributions with given moments are employed to replace otherwise intractable conditional densities. This paper re-examines signal-plus-noise models where parameter uncertainty is induced by a latent variable that may assume a fixed number of states. First, it is shown that, for these models, the approximate filters commonly adopted in the literature can be obtained as linear combinations of minimum variance linear unbiased estimators. Second, it is observed that they coincide with filters implied by a novel class of dynamic adaptive mixture models, where the parameters of a mixture of distributions evolve over time following a recursion that is based on the score of the one-step-ahead predictive distribution. Focusing on a robust specification, where the mixture components are Student’s t distributions, we prove existence, stationarity, and ergodicity of the data generating process as well as invertibility of the filter, and consistency and asymptotic normality of the maximum likelihood estimator of the static parameters. An application to energy spot prices is discussed, where the novel specification is compared with, and shown to outperform, robust score-driven filters and the related class of mixture autoregressive models. Anyone interested in attending is welcome; just email me for logistical purposes Hoping to meet you there! Best, Matteo Iacopini La presente e-mail proviene da Luiss Guido Carli e s'intende inviata per scopi lavorativi. Tutte le informazioni ivi contenute, compresi eventuali allegati, sono da ritenersi esclusivamente confidenziali e riservati secondo i termini del vigente D.Lgs. 196/2003 in materia di privacy e del Regolamento europeo 679/2016 - GDPR. È vietato qualsiasi ulteriore utilizzo non autorizzato. Qualora la stessa Le fosse pervenuta per errore, La preghiamo di eliminarla immediatamente e di darcene tempestiva comunicazione. Grazie. This e-mail message is sent by Luiss Guido Carli for business purposes. All informations contained therein, including any attachments, are for the sole use of the intended recipient and may contain confidential and privileged information pursuant to Legislative Decree 196/2003 and the European General Data Protection Regulation 679/2016 - GDPR -. Any unauthorized review, use, disclosure or distribution is prohibited. If you are not the intended recipient, please contact the sender by soon reply this e-mail and destroy all copies of the original message. Thanks