4 papers · 1 filter
Predictive Concordance for Parameter Optimisation and Mixture Synthesis
Tobias Adrian, Domenico Giannone, Matteo Luciani +1
We discuss probabilistic measures of concordance between two probability distributions based on the expected misclassification rate (EMR). The focus is on comparing a given referen…
Bayesian Dynamic Modeling of Realized Volatility in Financial Asset Price Forecasting
Patrick Woitschig, Mike West
We present a new class of Bayesian dynamic models for bivariate price-realized volatility time series in financial forecasting. A novel dynamic gamma process model adopted for real…
Simultaneous Graphical Dynamic Modeling
Mike West, Luke Vrotsos
We review theory and methodology of the class of simultaneous graphical dynamic linear models (SGDLMs) that provide flexibility, parsimony and scalability of multivariate time seri…
Compositional dynamic modelling for causal prediction in multivariate time series
Kevin Li, Graham Tierney, Christoph Hellmayr +1
Theoretical developments in sequential Bayesian analysis of multivariate dynamic models underlie new methodology for causal prediction. This extends the utility of existing models…