Dynamic Latent Class Model Averaging for Online Prediction

DOI10.1002/for.2315zbMath1365.62474OpenAlexW2140228108MaRDI QIDQ5270441

Yasuo Amemiya, Hongxia Yang, Jonathan R. M. Hosking

Publication date: 23 June 2017

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2315

zbMATH Keywords

exponential forgettingclusteringanalysisGibbs algorithmMarkov chain modelforward filtering backward samplingpolychotomous regression model

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Numerical analysis or methods applied to Markov chains (65C40) Prediction theory (aspects of stochastic processes) (60G25)

Cites Work

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• A Semiparametric Approach to Density Estimation
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• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• On Gibbs sampling for state space models
• Combining Estiamates in Regression and Classification
• Adaptive Regression by Mixing
• Exact and approximate sum representations for the Dirichlet process
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
• Bayesian auxiliary variable models for binary and multinomial regression

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