Browsing BI Open by Author "Nakajima, Jouchi"
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Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike (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, ... -
Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting
Aastveit, Knut Are; McAlinn, Kenichiro; Nakajima, Jouchi; West, Mike (Working paper, 2019)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, ...