EBMAforecast

CRANEBMAforecastMaRDI QIDQ93765FDOQ93765

Estimate Ensemble Bayesian Model Averaging Forecasts using Gibbs Sampling or EM-Algorithms

Jacob M. Montgomery, Florian M. Hollenbach, Michael D. Ward

Last update: 10 November 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.3, 0.3, 0.4, 0.41, 0.42, 0.52, 1.0.0, 1.0.2, 1.0.31

Description

Create forecasts from multiple predictions using ensemble Bayesian model averaging (EBMA). EBMA models can be estimated using an expectation maximization (EM) algorithm or as fully Bayesian models via Gibbs sampling. The methods in this package are Montgomery, Hollenbach, and Ward (2015) <doi:10.1016/j.ijforecast.2014.08.001> and Montgomery, Hollenbach, and Ward (2012) <doi:10.1093/pan/mps002>.

Cites work

• Calibrating ensemble forecasting models with sparse data in the social sciences
• Improving Predictions using Ensemble Bayesian Model Averaging

Cited In (1)

• autoMrP

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