Bayesian Regression Approach for Building and Stacking Predictive Models in Time Series Analytics

@article{Pavlyshenko2020BayesianRA,
  title={Bayesian Regression Approach for Building and Stacking Predictive Models in Time Series Analytics},
  author={Bohdan M. Pavlyshenko},
  journal={ArXiv},
  year={2020},
  volume={abs/2201.02034}
}
The paper describes the use of Bayesian regression for building time series models and stacking different predictive models for time series. Using Bayesian regression for time series modeling with nonlinear trend was analyzed. This approach makes it possible to estimate an uncertainty of time series prediction and calculate value at risk characteristics. A hierarchical model for time series using Bayesian regression has been considered. In this approach, one set of parameters is the same for… 

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