Bayesian ex post evaluation of recursive multi-step-ahead density prediction

DOI10.1214/23-BA1367MaRDI QIDQ7022403zbMATH OpenFDO

Authors Anna Pajor, Jacek Osiewalski, Justyna Wróblewska, Łukasz Kwiatkowski

Publication date 25 February 2025

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/bayesian-analysis/volume-19/issue-3/Bayesian-ex-Post-Evaluation-of-Recursive-Multi-Step-Ahead-Density/10.1214/23-BA1367.full

zbMATH Keywords

cointegrationdensity forecastpredictive Bayes factortime-varying volatility

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Statistics (62-XX) Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

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Cited in

(1)

• Has the COVID-19 outbreak capsized the predictive performance of Bayesian VAR models with cointegration and time-varying volatility?

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