Discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

DOI10.1007/S10463-019-00743-1zbMath1436.62423OpenAlexW2991713869MaRDI QIDQ5970997

Chris Glynn

Publication date: 9 March 2020

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-019-00743-1

zbMATH Keywords

multivariate time seriesBayesian forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Bayesian forecasting and dynamic models.
• Dynamic variable selection with spike-and-slab process priors

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