A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting.
Nattapol AunsriPaponpat TaveeapiradeecharoenPublished in: IEEE Access (2020)
Keyphrases
- exchange rate
- short term
- bayesian inference
- stock market
- bayesian networks
- data structure
- bayesian estimation
- data compression
- foreign exchange
- data driven
- posterior probability
- prediction model
- maximum likelihood
- historical data
- posterior distribution
- gaussian processes
- medium term
- bayesian decision
- compressed domain
- financial time series
- forecast models
- weather forecasting
- decision making
- forecasting accuracy
- grey theory
- autoregressive model
- financial data
- bayesian learning
- long run
- decision theory
- stock price
- long term