Reply to discussion of ``Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

DOI10.1007/S10463-019-00744-0zbMath1436.62442OpenAlexW2992913032MaRDI QIDQ2304236

Mike West

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://doi.org/10.1007/s10463-019-00744-0

zbMATH Keywords

multivariate time seriesBayesian forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

Bayesian Computation in Dynamic Latent Factor Models ⋮ Adaptive variable selection for sequential prediction in multivariate dynamic models

Cites Work

• Achieving shrinkage in a time-varying parameter model framework
• Priors for the Long Run

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