Bayesian nonparametric forecasting of monotonic functional time series

DOI10.1214/16-EJS1190zbMath1357.62278arXiv1608.08056OpenAlexW3101948118MaRDI QIDQ502800

Matteo Ruggiero, Antonio Canale

Publication date: 11 January 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08056

zbMATH Keywords

predictionMonte CarloMarkov chaindependent processesDirichlet processinteracting particle systemapproximate Bayesian computationMoran modelPolya urn

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Bayesian inference (62F15) Monte Carlo methods (65C05) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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