Predicting the present with Bayesian structural time series (Q90324): Difference between revisions

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Property / DOI: 10.1504/ijmmno.2014.059942 / rank
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Property / DOI: 10.1504/IJMMNO.2014.059942 / rank
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Property / author: Steven L. Scott / rank
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Property / author: Steven L. Scott / rank
 
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Summary: This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with a regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors.
Property / review text: Summary: This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with a regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors. / rank
 
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Property / Mathematics Subject Classification ID: 62P20 / rank
 
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Property / Mathematics Subject Classification ID: 62M20 / rank
 
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Property / Mathematics Subject Classification ID: 91B84 / rank
 
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Property / Mathematics Subject Classification ID: 65C40 / rank
 
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Property / zbMATH DE Number: 6379195 / rank
 
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Bayesian model averaging
Property / zbMATH Keywords: Bayesian model averaging / rank
 
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Bayesian structural time series models
Property / zbMATH Keywords: Bayesian structural time series models / rank
 
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Markov chain Monte Carlo
Property / zbMATH Keywords: Markov chain Monte Carlo / rank
 
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economic time series
Property / zbMATH Keywords: economic time series / rank
 
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machine learning
Property / zbMATH Keywords: machine learning / rank
 
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Property / zbMATH Keywords
 
predicting the present
Property / zbMATH Keywords: predicting the present / rank
 
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spike and slab priors
Property / zbMATH Keywords: spike and slab priors / rank
 
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state space models
Property / zbMATH Keywords: state space models / rank
 
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Property / Wikidata QID: Q114106132 / rank
 
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Property / DOI: 10.1504/IJMMNO.2014.059942 / rank
 
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Latest revision as of 11:16, 9 December 2024

scientific article
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Predicting the present with Bayesian structural time series
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    2014
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    10 December 2014
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    Predicting the present with Bayesian structural time series (English)
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    Summary: This article describes a system for short term forecasting based on an ensemble prediction that averages over different combinations of predictors. The system combines a structural time series model for the target series with a regression component capturing the contributions of contemporaneous search query data. A spike-and-slab prior on the regression coefficients induces sparsity, dramatically reducing the size of the regression problem. Our system averages over potential contributions from a very large set of models and gives easily digested reports of which coefficients are likely to be important. We illustrate with applications to initial claims for unemployment benefits and to retail sales. Although our exposition focuses on using search engine data to forecast economic time series, the underlying statistical methods can be applied to more general short term forecasting with large numbers of contemporaneous predictors.
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    Bayesian model averaging
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    Bayesian structural time series models
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    Markov chain Monte Carlo
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    economic time series
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    machine learning
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    predicting the present
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    spike and slab priors
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    state space models
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