Bayesian forecasting and dynamic models.
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Publication:676677
DOI10.1007/B98971zbMATH Open0871.62026OpenAlexW2151926297MaRDI QIDQ676677FDOQ676677
Authors: Mike West, Jeff Harrison 
Publication date: 19 March 1997
Published in: Springer Series in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/b98971
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Bayesian inference (62F15) Applications of statistics to economics (62P20) Foundations and philosophical topics in statistics (62A01) Inference from stochastic processes and prediction (62M20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Cited In (only showing first 100 items - show all)
- Bayesian forecasting with the Holt–Winters model
- Bootstrap for correcting the mean square error of prediction and smoothed estimates in structural models
- Dynamic Bayesian analysis of generalized odds ratios assuming multivariate skew-normal distribution for the error terms in the system equation
- Inference for the hyperparameters of structural models under classical and Bayesian perspectives: a comparison study
- Student's-\(t\) process with spatial deformation for spatio-temporal data
- Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
- The value of news for economic developments
- A dynamic hierarchical Bayesian model for the estimation of day-to-day origin-destination flows in transportation networks
- A skew-normal dynamic linear model and Bayesian forecasting
- State space Markov switching models using wavelets
- Time-varying vector autoregressive models with stochastic volatility
- Particle learning for fat-tailed distributions
- Posterior mean and variance approximation for regression and time series problems
- Bayesian analysis of dynamic item response models in educational testing
- Sequential modeling, monitoring, and forecasting of streaming web traffic data
- Bayesian analysis of dynamic linear topic models
- On Smoothing Trends in Population Index Modeling
- Retrospective Bayesian outlier detection in INGARCH series
- Statistics in atmospheric science
- Functional time series approach for forecasting very short-term electricity demand
- On the long-run volatility of stocks
- Bayesian latent multi‐state modeling for nonequidistant longitudinal electronic health records
- Multivariate online regression analysis with heterogeneous streaming data
- Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach
- Bayesian forecasting with a regime-switching zero-inflated multilevel Poisson regression model: an application to adolescent alcohol use with spatial covariates
- Forecasting intra-individual changes of affective states taking into account inter-individual differences using intensive longitudinal data from a university student dropout study in math
- Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data
- Inference for stochastic kinetic models from multiple data sources for joint estimation of infection dynamics from aggregate reports and virological data
- A new filtering inference procedure for a GED state-space volatility model
- Optimizing pig marketing decisions under price fluctuations
- Probabilistic Forecasting and Bayesian Data Assimilation
- Second-order extended particle filter with exponential family observation model
- Bayesian non-parametric modeling for integro-difference equations
- A Bayesian hierarchical model for criminal investigations
- Dynamic regression models for time-ordered functional data
- Dynamic variable selection with spike-and-slab process priors
- Revisiting distributed lag models through a Bayesian perspective
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Sequential Monte Carlo samplers with independent Markov chain Monte Carlo proposals
- A scalable Bayesian nonparametric model for large spatio-temporal data
- Multivariate functional data modeling with time-varying clustering
- Bayesian emulation for multi-step optimization in decision problems
- Dynamic multiscale spatiotemporal models for Gaussian areal data
- Dynamic model-based clustering for spatio-temporal data
- On coupling particle filter trajectories
- Likelihood-free approximate Gibbs sampling
- State-space models for maxima precipitation
- General dependence structures for some models based on exponential families with quadratic variance functions
- Customized structural elicitation
- Structured expert judgement issues in a supply chain cyber risk management system
- Methods to compute prediction intervals: a review and new results
- A Bayesian paradigm for designing intrusion detection systems
- On particle methods for parameter estimation in state-space models
- Bayesian decision support for complex systems with many distributed experts
- Dynamic effects in inefficiency: evidence from the Colombian banking sector
- Dynamic Bayesian predictive synthesis in time series forecasting
- The seasonal forecast of electricity demand: a hierarchical Bayesian model with climatological weather generator
- Hyper-spherical and elliptical stochastic cycles
- Hyperparameter estimation in forecast models.
- Dynamic dependence networks: financial time series forecasting and portfolio decisions
- Dynamic logistic regression and dynamic model averaging for binary classification
- A bivariate space-time downscaler under space and time misalignment
- Hierarchical Gaussian graphical models: beyond reversible jump
- Dynamic Programming for Response-Adaptive Dose-Finding Clinical Trials
- Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
- Dynamic quantile linear models: a Bayesian approach
- Particle filters for continuous likelihood evaluation and maximisation
- A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities
- Searching multiregression dynamic models of resting-state fMRI networks using integer programming
- Sequential Bayesian model selection of regular vine copulas
- Regression models for time-varying extremes
- Particle learning and smoothing
- A simple hidden markov model for bayesian modeling with time dependent data
- Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
- Semiparametric Bayesian inference in smooth coefficient models
- Time-varying extreme pattern with dynamic models
- Learning and approximate inference in dynamic hierarchical models
- Forecasting in dynamic factor models using Bayesian model averaging
- A non-Gaussian family of state-space models with exact marginal likelihood
- Confronting model misspecification in macroeconomics
- A Bayesian regime-switching time-series model
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates
- Approximate Bayesian inference for latent Gaussian models by using integrated nested Laplace approximations (with discussion)
- ELICITING A DIRECTED ACYCLIC GRAPH FOR A MULTIVARIATE TIME SERIES OF VEHICLE COUNTS IN A TRAFFIC NETWORK
- Large time-varying parameter VARs
- Dynamic survival models with spatial frailty
- Time-varying combinations of predictive densities using nonlinear filtering
- Simulation-based sequential analysis of Markov switching stochastic volatility models
- Conditionally linear models for non-homogeneous spatial random fields
- Tracking epidemics with google flu trends data and a state-space SEIR model
- Embedding a state space model into a Markov decision process
- State space mixed models for binary responses with scale mixture of normal distributions links
- A dynamic nonstationary spatio-temporal model for short term prediction of precipitation
- Nonlinear and non-Gaussian state-space modeling with Monte Carlo simulations
- Locally adaptive Bayes nonparametric regression via nested Gaussian processes
- Testing for integration using evolving trend and seasonals models: A Bayesian approach.
- Bayesian dynamic Dirichlet models
- An optimal investment and consumption model with stochastic returns
- Modeling temporal gradients in regionally aggregated California asthma hospitalization data
- Prediction in several conventional contexts
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