Arbeitspapier
Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying combination strategies are introduced. In particular, a weight dynamics driven by the past performance of the predictive densities is considered and the use of learning mechanisms. The approach is assessed using statistical and utility-based performance measures for evaluating density forecasts of US macroeconomic time series and of surveys of stock market prices.
- Language
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Englisch
- Bibliographic citation
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Series: Tinbergen Institute Discussion Paper ; No. 11-003/4
- Classification
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Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
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Density Forecast Combination
Survey Forecast
Bayesian Filtering
Sequential Monte Carlo
Bayes-Statistik
Statistische Verteilung
Prognoseverfahren
Zeitreihenanalyse
Modellierung
- Event
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Geistige Schöpfung
- (who)
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Billio, Monica
Casarin, Roberto
Ravazzolo, Francesco
van Dijk, Herman K.
- Event
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Veröffentlichung
- (who)
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Tinbergen Institute
- (where)
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Amsterdam and Rotterdam
- (when)
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2011
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Billio, Monica
- Casarin, Roberto
- Ravazzolo, Francesco
- van Dijk, Herman K.
- Tinbergen Institute
Time of origin
- 2011
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Combining VAR and DSGE Forecast Densities
Predictive analytics models and collaborative filtering
Lifted Bayesian filtering in multi-entity systems
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Non-parametric bayesian filtering for multiple object tracking
Uncertainty-Aware Numerical Solutions of ODEs by Bayesian Filtering
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Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Combining Predictive Densities Using Bayesian Filtering with Applications to Us Economics Data
Combining Predictive Densities using Nonlinear Filtering with Applications to US Economics Data
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Combining VAR and DSGE Forecast Densities
Predictive analytics models and collaborative filtering
Lifted Bayesian filtering in multi-entity systems
Combining Forecast Densities from VARs with Uncertain Instabilities
Posterior and predictive densities for simultaneous equation models
Non-parametric bayesian filtering for multiple object tracking
Uncertainty-Aware Numerical Solutions of ODEs by Bayesian Filtering
Sensor fusion by Bayesian filtering for seamless pedestrian navigation