Gael M. Martin | DeepAI

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∙ 08/10/2023

Solving the Forecast Combination Puzzle

We demonstrate that the forecasting combination puzzle is a consequence ...

0 David T. Frazier, et al. ∙

∙ 03/03/2023

Optimal probabilistic forecasts for risk management

This paper explores the implications of producing forecast distributions...

0 Yuru Sun, et al. ∙

∙ 12/07/2022

Bayesian Forecasting in the 21st Century: A Modern Review

The Bayesian statistical paradigm provides a principled and coherent app...

0 Gael M. Martin, et al. ∙

∙ 08/01/2022

Computing Bayes: From Then 'Til Now'

This paper takes the reader on a journey through the history of Bayesian...

0 Gael M. Martin, et al. ∙

∙ 06/06/2022

The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts

We investigate the performance and sampling variability of estimated for...

0 Ryan Zischke, et al. ∙

∙ 12/23/2021

ABC of the Future

Approximate Bayesian computation (ABC) has advanced in two decades from ...

0 Henri Pesonen, et al. ∙

∙ 12/20/2021

Approximating Bayes in the 21st Century

The 21st century has seen an enormous growth in the development and use ...

0 Gael M. Martin, et al. ∙

∙ 06/23/2021

A Note on the Accuracy of Variational Bayes in State Space Models: Inference and Prediction

Using theoretical and numerical results, we document the accuracy of com...

0 David T. Frazier, et al. ∙

∙ 04/29/2021

Loss-Based Variational Bayes Prediction

We propose a new method for Bayesian prediction that caters for models w...

0 David T. Frazier, et al. ∙

∙ 09/21/2020

Optimal probabilistic forecasts: When do they work?

Proper scoring rules are used to assess the out-of-sample accuracy of pr...

0 Gael M. Martin, et al. ∙

∙ 04/14/2020

Computing Bayes: Bayesian Computation from 1763 to the 21st Century

The Bayesian statistical paradigm uses the language of probability to ex...

0 Gael M. Martin, et al. ∙

∙ 12/29/2019

Focused Bayesian Prediction

We propose a new method for conducting Bayesian prediction that delivers...

0 Ruben Loaiza-Maya, et al. ∙

∙ 08/20/2019

Forecasting observables with particle filters: Any filter will do!

We investigate the impact of filter choice on forecast accuracy in state...

0 Patrick Leung, et al. ∙

∙ 03/19/2019

Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach

We use the jackknife to bias correct the log-periodogram regression (LPR...

0 Kanchana Nadarajah, et al. ∙

∙ 12/20/2017

Approximate Bayesian Forecasting

Approximate Bayesian Computation (ABC) has become increasingly prominent...

0 David T. Frazier, et al. ∙

∙ 08/05/2017

Construction and Visualization of Optimal Confidence Sets for Frequentist Distributional Forecasts

The focus of this paper is on the quantification of sampling variation i...

0 David Harris, et al. ∙

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