Predicting the present with Bayesian structural time series

DOI10.1504/ijmmno.2014.059942zbMath1302.62289WikidataQ114106132 ScholiaQ114106132MaRDI QIDQ90324

Hal R. Varian, Steven L. Scott, Hal R. Varian, Steven L. Scott

Publication date: 2014

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlostate space modelsmachine learningBayesian model averagingspike and slab priorsBayesian structural time series modelseconomic time seriespredicting the present

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Economic time series analysis (91B84) Numerical analysis or methods applied to Markov chains (65C40)

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