Bayesian functional forecasting with locally-autoregressive dependent processes

DOI10.1214/18-BA1140MaRDI QIDQ2290704zbMATH OpenWikidataFDO

Authors Guillaume Kon Kam King, Antonio Canale, Matteo Ruggiero

Publication date 29 January 2020

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1545296447

zbMATH Keywords

approximate Bayesian computationautoregressionBayesian nonparametricsfunctional data analysispredictiontime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Functional data analysis (62R10)

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Cites work

• A Bayesian nonparametric approach to modeling market share dynamics
• Adapting the ABC distance function
• Approximate Bayesian computational methods
• Bayesian functional forecasting with locally-autoregressive dependent processes
• Bayesian nonparametric forecasting of monotonic functional time series
• Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation. With discussion and authors' reply
• Countable representation for infinite dimensional diffusions derived from the two-parameter Poisson-Dirichlet process
• Ferguson distributions via Polya urn schemes
• scientific article; zbMATH DE number 5586084 (Why is no real title available?)
• Julia: a fresh approach to numerical computing
• Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
• Sequential Monte Carlo with adaptive weights for approximate Bayesian computation
• Strictly Proper Scoring Rules, Prediction, and Estimation

Cited in

(7)

• Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
• Predictive inference with Fleming-Viot-driven dependent Dirichlet processes
• Bayesian functional forecasting with locally-autoregressive dependent processes
• Bayesian nonparametric forecasting of monotonic functional time series
• Approximating Bayes in the 21st century
• A journey from univariate to multivariate functional time series: a comprehensive review
• Modeling nonstationary time series using locally stationary basis processes

Describes a project that uses

Uses Software

• Stan
• glmnet
• Julia

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