Predicting the present with Bayesian structural time series

DOI10.1504/IJMMNO.2014.059942MaRDI QIDQ90324zbMATH OpenWikidataFDO

Authors Steven L. Scott, Hal R. Varian, Hal R. Varian, Steven L. Scott

Publication date 2014

Published in International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlomachine learningBayesian model averagingBayesian structural time series modelseconomic time seriespredicting the presentspike and slab priorsstate space models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84)

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• scientific article; zbMATH DE number 46307

Cited in

(21)

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• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
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• Forecasting Short Time Series with the Bayesian Autoregression and the Soft Computing Prior Information
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• Bayesian long-run prediction in time series models
• Dynamic downscaling and daily nowcasting from influenza surveillance data
• Statistical modeling of computer malware propagation dynamics in cyberspace

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