A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting.

Nattapol Aunsri Paponpat Taveeapiradeecharoen

Published 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