Bayesian Nonparametric Calibration and Combination of Predictive Distributions

DOI10.1080/01621459.2016.1273117zbMath1398.62060arXiv1502.07246OpenAlexW3122142519MaRDI QIDQ4962434

Roberto Casarin, Francesco Ravazzolo, Federico Bassetti

Publication date: 2 November 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.07246

zbMATH Keywords

Bayesian nonparametricsforecast combinationposterior consistencydensity forecastforecast calibration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Nonparametric inference (62G99)

Related Items (7)

Infinite Markov pooling of predictive distributions ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Comparison of combination methods to create calibrated ensemble forecasts for seasonal influenza in the U.S. ⋮ Structural changes in large economic datasets: a nonparametric homogeneity test ⋮ Additive stacking for disaggregate electricity demand forecasting ⋮ Data fusion for uncertainty quantification with non-intrusive polynomial chaos ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach

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