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)
- Missing observation analysis for matrix-variate time series data
- Feasible parameter regions for alternative discrete state space models
- Automatic monitoring and intervention in multivariate dynamic linear models
- Graphical dynamic linear models: Specification, use and graphical transformations
- Bayesian Forecasting for Accident Proneness Evaluation
- Time series. Modeling, computation, and inference
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- Bayesian prediction of earthquake network based on space-time influence domain
- Characterising economic trends by Bayesian stochastic model specification search
- Mixtures of experts for understanding model discrepancy in dynamic computer models
- A dynamic linear model with extended skew-normal for the initial distribution of the state parameter
- Bayesian model selection of regular vine copulas
- Statistical Modeling for Spatio-Temporal Data From Stochastic Convection-Diffusion Processes
- Sequential state inference of engineering systems through the particle move-reweighting algorithm
- Spatially varying dynamic coefficient models
- An improved particle filtering-based approach for health prediction and prognosis of nonlinear systems
- A group analysis using the multiregression dynamic models for fMRI networked time series
- Studying the effective brain connectivity using multiregression dynamic models
- Modelling zero-inflated spatio-temporal processes
- Bayesian Computation in Dynamic Latent Factor Models
- Toward a multisubject analysis of neural connectivity
- The marginal likelihood of dynamic mixture models
- Parallel tempering for dynamic generalized linear models
- Emulator-assisted reduced-rank ecological data assimilation for nonlinear multivariate dynamical spatio-temporal processes
- A Bayesian analysis of moving average processes with time-varying parameters
- Automatic selective intervention in dynamic linear models
- On the sources of uncertainty in exchange rate predictability
- Flexible integro-difference equation modeling for spatio-temporal data
- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- Statistical inference for dynamical systems: a review
- A tractable state-space model for symmetric positive-definite matrices
- Comment on article by Windle and Carvalho
- Hellinger distance and non-informative priors
- Dynamic Bayesian beta models
- Monitoring Residual Autocorrelations in Dynamic Linear Models
- Decomposition of time series models in state-space form
- Monitoring and Adaptation in Bayesian Forecasting Models
- Space-time data fusion under error in computer model output: an application to modeling air quality
- Sequential Bayesian inference for static parameters in dynamic state space models
- A Comparison of the Characteristics of Some Bayesian Forecasting Models
- BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES
- Statistical process control and model monitoring
- Bayesian spatio-dynamic modeling in cell motility studies: learning nonlinear taxic fields guiding the immune response
- Bayesian dynamic probit models for the analysis of longitudinal data
- Observable trend-projecting state-space models
- An adaptive resampling scheme for cycle estimation
- Structured priors for multivariate time series
- Monitoring changes in exponential family models: a two-sided Bayesian decision approach
- Regression models for exceedance data: a new approach
- Multivariate Bayesian predictive synthesis in macroeconomic forecasting
- Exterior exposure estimation using a one-compartment toxicokinetic model with blood sample measurements
- Sequential estimation of mixtures of structured autoregressive models
- An efficient sampling scheme for dynamic generalized models
- Time-varying threshold regression model using the Kalman filter method
- Bayesian monitoring of local residual autocorrelations taking into account the run-length
- Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form
- Dynamic hierarchical models: an extension to matrix-variate observations.
- 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
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