27 citations · 74 across the 13 of their papers we have counts for
3 papers · 1 filter
Focused Bayesian Prediction
Ruben Loaiza-Maya, Gael M. Martin, David T. Frazier
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defi…
Forecasting observables with particle filters: Any filter will do!
Patrick Leung, Catherine S. Forbes, Gael M. Martin +1
We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a par…
Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
Kanchana Nadarajah, Gael M Martin, Donald S Poskitt
We use the jackknife to bias correct the log-periodogram regression(LPR) estimator of the fractional parameter in a stationary fractionally integrated model. The weights for the ja…