Abstract
We present the results on the comparison of efficiency of approximate Bayesian methods for the analysis and forecasting of non-Gaussian dynamic processes. A numerical algorithm based on MCMC methods has been developed to carry out the Bayesian analysis of non-linear time series. Although the MCMC-based approach is not fast, it allows us to study the efficiency, in predicting future observations, of approximate propagation procedures that, being algebraic, have the practical advantage of being very quick. Copyright © 2000 John Wiley & Sons, Ltd.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.