Blar i BI Open på emneord "Bayesian forecasting"
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Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
(CAMP Working Paper Series;01/2019, Working paper, 2019-01-16)We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, ... -
Quantifying time-varying forecast uncertainty and risk for the real price of oil
(CAMP Working Paper Series;03/2021, Working paper, 2021-06-01)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ... -
Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
(Peer reviewed; Journal article, 2022)We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier ...