Likelihood tempering in dynamic model averaging

DOI10.1007/978-3-319-54084-9_7zbMATH Open1364.62066OpenAlexW2608380530MaRDI QIDQ5267857FDOQ5267857

Authors: Jan Reichl, Kamil Dedecius 

Publication date: 13 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54084-9_7

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zbMATH Keywords

predictionBayesian inferencesequential estimationmodel averagingmodel uncertaintytempered likelihood

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics in engineering and industry; control charts (62P30) Inference from stochastic processes and prediction (62M20)

Cites Work

• Statistical analysis of finite mixture distributions
• Finite mixture and Markov switching models.
• Bayesian Model Averaging for Linear Regression Models
• Asymptotic behavior of Bayes estimates under possibly incorrect models
• Dynamic prediction pools: an investigation of financial frictions and forecasting performance
• Title not available (Why is that?)
• Approximating bayesian inference by weighted likelihood
• Dynamic logistic regression and dynamic model averaging for binary classification
• Title not available (Why is that?)
• Parameter tracking with partial forgetting method

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