Forecasting Swiss exports using Bayesian forecast reconciliation

DOI10.1016/j.ejor.2020.09.046zbMath1487.62147OpenAlexW2962955015MaRDI QIDQ2030726

Anastasios Panagiotelis, Florian Eckert, Rob Hyndman

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.09.046

zbMATH Keywords

forecastingdecision-makingoptimal combinationhierarchical reconciliation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (2)

An empirical Bayes approach to incorporating demand intermittency and irregularity into inventory control ⋮ Probabilistic forecast reconciliation: properties, evaluation and score optimisation

Uses Software

• forecast
• Forecast
• bvarsv

Cites Work

• Optimal combination forecasts for hierarchical time series
• A measure for total variability in multivariate normal distribution
• Fast computation of reconciled forecasts for hierarchical and grouped time series
• Integrated hierarchical forecasting
• Forecasting with temporal hierarchies
• Generalised density forecast combinations
• Hierarchical estimation of parameters in Bayesian networks
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• Efficient simulation and integrated likelihood estimation in state space models
• Partitioned Ridge Regression
• Optimal Forecast Reconciliation for Hierarchical and Grouped Time Series Through Trace Minimization
• Time Varying Structural Vector Autoregressions and Monetary Policy

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