Hyperparameter estimation in forecast models.
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Publication:1285504
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)
Bayes factorPosterior distributionDynamic modelingHyperparameterLitterman's priorSampling importance resampling (SIR)
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Cites Work
- Bayesian forecasting and dynamic models.
- Statistical decision theory and Bayesian analysis. 2nd ed
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- Markov chain Monte Carlo for dynamic generalised linear models
- DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
- On Gibbs sampling for state space models
- 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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