A Comparison of the Characteristics of Some Bayesian Forecasting Models

DOI10.2307/1403502zbMath0755.62033OpenAlexW2313180207MaRDI QIDQ4019011

James Q. Smith

Publication date: 16 January 1993

Published in: International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1403502

zbMATH Keywords

characterizationsconditional independencestate space representationimpossibility theoremsdynamic generalized linear modelsevolution of beliefsnonlinear Bayesian forecasting modelssteady modelnon-normal time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

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Dynamic Logistic Regression and Dynamic Model Averaging for Binary Classification ⋮ Graphical and phase space models for univariate time series ⋮ Distributional Kalman filters for Bayesian forecasting and closed form recurrences ⋮ Semi-parametric dynamic time series modelling with applications to detecting neural dynamics

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