Bayesian median autoregression for robust time series forecasting
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DOI: 10.1016/j.ijforecast.2020.11.002
Abstract: Abstract We develop a Bayesian median autoregressive (BayesMAR) model for time series forecasting. The proposed method utilizes time-varying quantile regression at the median, favorably inheriting the robustness of median regression in contrast to the widely… read more here.
Keywords: time; series forecasting; bayesian median; time series ... See more keywords