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非负贝叶斯时间序列模型的性质与推广AI 解读

Summary We study the most basic Bayesian forecasting model for exponential family time series, the power steady model (PSM) of Smith, in terms of observable properties of one-step forecast distributions and sample paths. The PSM implies a constraint between location and spread of the forecast distribution. Including a scale parameter in the models does not always give an exact solution free of this problem, but it does suggest how to define related models free of the…

连续比例向量的时间序列模型AI 解读

SUMMARY A vector of continuous proportions consists of the proportions of some total accounted for by its constituent components. An example is the proportions of world motor vehicle production by Japan, the USA and all other countries. We consider the situation where time series data are available and where interest focuses on the proportions rather than the actual amounts. Reasons for analysing such times series include estimation of the underlying trend, estimation of the…