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 factorPosterior distributionDynamic modelingHyperparameterLitterman's priorSampling importance resampling (SIR)

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15)

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Cites Work

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• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
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• BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES
• Filtering via Simulation: Auxiliary Particle Filters
• An adaptive resampling scheme for cycle estimation
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