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Description
  • In Bayesian normal vector AR model (BVAR) of data evolution in a discrete time we are trying to predict the distribution of data up to horizon h. Since the analytical solution of such a prediction is difficult due to the high dimensionality of the problem, we are forced to search for approximative solutions. We propose a solution using Monte Carlo sampling from parameter distribution and later reconstruction of the predictive distribution of data.
  • In Bayesian normal vector AR model (BVAR) of data evolution in a discrete time we are trying to predict the distribution of data up to horizon h. Since the analytical solution of such a prediction is difficult due to the high dimensionality of the problem, we are forced to search for approximative solutions. We propose a solution using Monte Carlo sampling from parameter distribution and later reconstruction of the predictive distribution of data. (en)
Title
  • Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling
  • Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling (en)
skos:prefLabel
  • Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling
  • Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling (en)
skos:notation
  • RIV/67985556:_____/09:00330049!RIV10-MSM-67985556
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(2C06001), Z(AV0Z10750506)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 308139
http://linked.open...ai/riv/idVysledku
  • RIV/67985556:_____/09:00330049
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Vector Auto-regression; Forecasting; Financial Mathematics; Bayesian (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [EBD4573159D1]
http://linked.open...v/mistoKonaniAkce
  • Hluboká nad Vltavou
http://linked.open...i/riv/mistoVydani
  • Praha
http://linked.open...i/riv/nazevZdroje
  • Proceedings of the 10th International PhD Workshop on Systems and Control
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Šindelář, Jan
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • ÚTIA, AV ČR
https://schema.org/isbn
  • 978-80-903834-3-2
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