Forecasting under model uncertainty:Non-homogeneous hidden Markov models with Polya-Gamma data augmentation

Constandina Koki, Loukia Meligkotsidou, Ioannis Vrontos

We consider two-state Non-Homogeneous Hidden Markov Models (NHHMMs) for forecasting univariate time series. Given a set of predictors, the time series are modeled via predictive re…