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.
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УДК:330.4
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