Corpus ID: 218122173

A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction

  title={A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction},
  author={Christoph Berninger and Almond Stocker and David Rugamer},
  journal={arXiv: Methodology},
Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the long run. We use a Bayesian formulation to incorporate prior assumptions on the mean reverting process in the model and thereby regularize predictions in the far future. We use MCMC-based inference by deriving relevant full conditional distributions and employ… Expand

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