117 citations · 522 across the 22 of their papers we have counts for
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stat.ME2019★ 42 cited
Bayesian forecasting of multivariate time series: Scalability, structure uncertainty and decisions
Mike West
I overview recent research advances in Bayesian state-space modeling of multivariate time series. A main focus is on the decouple/recouple concept that enables application of state…
stat.ME2019★ 17 cited
Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models
Isaac Lavine, Michael Lindon, Mike West
We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specif…