Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models
@article{Lavine2021AdaptiveVS, title={Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models}, author={Isaac Lavine and Michael Lindon and Mike West}, journal={Bayesian Analysis}, year={2021} }
We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant models. Based on formal Bayesian decision-theoretic reasoning, we develop a time-adaptive approach to exploring, weighting, combining and selecting models that differ in terms of predictive variables included. The adaptivity allows for changes in the sets of…
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