Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F09%3A00330049" target="_blank" >RIV/67985556:_____/09:00330049 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Construction of multi-step ahead predictions in a normal BVAR(p) model using Monte Carlo sampling
Original language 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.
Czech name
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Czech description
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Project
<a href="/en/project/2C06001" target="_blank" >2C06001: Fully probabilistic design of adaptive decision-making strategies suitable under informationally demanding conditions</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 10th International PhD Workshop on Systems and Control
ISBN
978-80-903834-3-2
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
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Publisher name
ÚTIA, AV ČR
Place of publication
Praha
Event location
Hluboká nad Vltavou
Event date
Sep 22, 2009
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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