Multivariate Time Series Model with Hierarchical Structure for Over‐Dispersed Discrete Outcomes

DOI10.1002/FOR.2301zbMath1397.62241OpenAlexW2172676324MaRDI QIDQ4687516

Masataka Ban, Nobuhiko Terui

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10097/56551

zbMATH Keywords

compound Poissonover-dispersionhierarchical market structuredynamic generalized linear modelcompound multinomialstate space prior

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Multivariate analysis and fuzziness (62H86)

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Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions

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