Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
DOI10.1007/s10463-019-00741-3zbMath1436.62441arXiv1911.09656OpenAlexW2991080322MaRDI QIDQ2304234
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://arxiv.org/abs/1911.09656
network flowsBayesian forecastingmulti-scale modelstime series monitoringAkaike Memorial LectureBayesian model emulationdecision-guided model assessmentdecouple/recoupledynamic dependency networksinteger count time seriessimultaneous graphical dynamic models
Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Probabilistic graphical models (62H22)
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