Greetings,
Can someone point me to a good introductory reference to time series
forecasting with Bayesian estimators. I am working on an interesting
problem in applied finance involving forecasting asset returns using a
Student-t prior to account for the "fat-tails" in asset returns. I have
an MCMC estimator the posterior distribution of the model parameters.
Now I need to estimate the posterior density of an out-of-sample,
n-step ahead forecast.
Thanks,
Mark Coleman
Arlington, MA
USA
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