Hyperparameter estimation in forecast models.

DOI10.1016/S0167-9473(98)00078-4zbMath1042.62609WikidataQ126311967 ScholiaQ126311967MaRDI QIDQ1285504

Ajax R. Bello Moreira, Alexandra Mello Schmidt, Hedibert Freitas Lopes

Publication date: 28 April 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Bayes factor; Posterior distribution; Dynamic modeling; Hyperparameter; Litterman's prior; Sampling importance resampling (SIR)

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62F15: Bayesian inference

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