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stat.ME2026
Bayesian Reconciliation of Overlapping Multi-Step Forecasts: A Post-Processing Framework for Cross-Origin Coherence
Oluwatosin Bamidele Fajana, Ricardo S. Ehlers, Marinho G. Andrade
Multi-step forecasting systems, including modern artificial intelligence (AI) models, often issue overlapping predictions for the same future time from different forecast origins.…
stat.CO2026
Stochastic Volatility in Mean Models with Heavy Tails: A Fast Approximate Bayesian Inference Using Hidden Markov Models
Bruno E. Holtz, Carlos A. Abanto-Valle, Ricardo S. Ehlers +1
This paper extends the approximate Bayesian estimation framework for Stochastic Volatility in Mean (SVM) models to accommodate heavy-tailed distributions from the Scale Mixture of…