A comparison of approximate Bayesian forecasting methods for non-Gaussian time series

A comparison of approximate Bayesian forecasting methods for non-Gaussian time series

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Article ID: iaor20013134
Country: United Kingdom
Volume: 19
Issue: 2
Start Page Number: 135
End Page Number: 148
Publication Date: Mar 2000
Journal: International Journal of Forecasting
Authors: ,
Keywords: MCMC methods, Bayesian modelling
Abstract:

We present the results on the comparison of efficiency of approximate Bayesian methods for the analysis and forecasting of non-Gaussian dynamic processes. A numerical algorithm based on Markov-Chain, Monte-Carlo (MCMC) methods has been developed to carry out the Bayesian analysis of non-linear time series. Although the MCMC-based approach is not fast, it allows us to study the efficiency, in predicting future observations, of approximate propagation procedures that, being algebraic, have the practical advantage of being very quick.

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