Adaptive variable selection for sequential prediction in multivariate dynamic models

DOI10.1214/20-BA1245arXiv1906.06580OpenAlexW3091253257MaRDI QIDQ6198360

Isaac Lavine, Michael Lindon, Mike West

Publication date: 21 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.06580

zbMATH Keywords

decision analysismodel averagingBayesian forecastingdynamic linear modelsmacroeconomic forecastingshotgun stochastic searchdynamic dependency network modelsGibbs model probabilitiesmodel structure uncertainty

Mathematics Subject Classification ID

Statistics (62-XX)

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