Dynamic B ayesian Models: Inference and Forecasting
Raquel Prado · Wiley StatsRef: Statistics Reference Online · 2016
Abstract Bayesian forecasting encompasses statistical theory and methods intime‐seriesanalysis and time‐series forecasting, particularly approaches using dynamic andstate‐space models, although the underlying concepts and theoretical foundation relate to probability modeling and inference more generally. This entry focuses specifically on Bayesian time‐series modeling, inference, and forecasting via dynamic models, with mention of related areas.