3 papers
stat.ME2024
Bayesian inference of vector autoregressions with tensor decompositions
Yiyong Luo, Jim E. Griffin
Vector autoregressions (VARs) are popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are mo…
stat.ME2024
Beta-CoRM: A Bayesian Approach for -gram Profiles Analysis
José A. PerusquÃa, Jim E. Griffin, Cristiano Villa
-gram profiles have been successfully and widely used to analyse long sequences of potentially differing lengths for clustering or classification. Mainly, machine learning algor…
stat.ME2024
A loss discounting framework for model averaging and selection in time series models
Dawid Bernaciak, Jim E. Griffin
We introduce a Loss Discounting Framework for model and forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. We use a l…