Determining a Portfolio of Linear Time Series Models
构建线性时间序列模型的候选集合AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究线性时间序列的阶数与模型规格选择,预测仅被列为候选集合的后续用途。
构建线性时间序列模型的候选集合AI 解读 ↓
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The paper applies selection criteria to order determination in linear time series models in a less mechanical fashion than is often found. This is achieved via posterior odds ratios and by applying concepts of grades of evidence advanced by Jeffreys (1961). It is shown how alternative specifications may be compared and this leads to the development of a practical method for determining a portfolio of different models, each of which may be regarded as reasonable for the data and which could be useful in subsequent tasks such as forecasting. To complement the theory, some simulation experiments are reported which illustrate the practical efficacy of the procedure.
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概率季节性调整
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图结构时间序列的滤波共形预测椭球
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面向二元、删失与计数变量的大型贝叶斯VAR
We extend the vector autoregression (VAR) to model binary, censored, count and unrestricted variables jointly, treating missing observations of any type in the same way. Each restricted observation is linked to a latent Gaussian variable, so that the standard machinery for VARs, such as shrinkage priors, stochastic volatility and outlier components, applies directly to the VAR for the latent variables. The latent variables have a truncated normal conditional distribution…