3 papers
stat.ME2021
Model combinations through revised base-rates
Fotios Petropoulos, Evangelos Spiliotis, Anastasios Panagiotelis
Standard selection criteria for forecasting models focus on information that is calculated for each series independently, disregarding the general tendencies and performances of th…
stat.CO2019
Updating Variational Bayes: Fast sequential posterior inference
Nathaniel Tomasetti, Catherine S. Forbes, Anastasios Panagiotelis
Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior i…
stat.ME2018
Reconciliation of probabilistic forecasts with an application to wind power
Jooyoung Jeon, Anastasios Panagiotelis, Fotios Petropoulos
New methods are proposed for adjusting probabilistic forecasts to ensure coherence with the aggregation constraints inherent in temporal hierarchies. The different approaches neste…