Truncated priors for tempered hierarchical Dirichlet process vector autoregression
Книги

Truncated priors for tempered hierarchical Dirichlet process vector autoregression

Книги

Truncated priors for tempered hierarchical Dirichlet process vector autoregression

Seleznev, S. Truncated priors for tempered hierarchical Dirichlet process vector autoregression / S. Seleznev. — Moscow : Bank of Russia, 2019. — 37 p.: il.. — (Working paper series; 47, october). — References: p. 16-18.

Аннотация

We construct priors for the tempered hierarchical Dirichlet process vector autoregression model (tHDP-VAR) that in practice do not lead to explosive forecasting dynamics. Additionally, we show that tHDP-VAR and its variational Bayesian approximation with heuristics demonstrate competitive or even better forecasting performance on US and Russian datasets.
  • УДК:
    330.4

Отзывы читателей

0