Trend-cycle decomposition and forecasting using Bayesian multivariate unobserved components
Mohammad R. Jahan-Parvar, Charles Knipp, and Pawel J. Szerszeń
| Year of publication: |
September 13, 2024
|
|---|---|
| Authors: | Jahan-Parvar, Mohammad R. ; Knipp, Charles ; Szerszeń, Pawel J. |
| Publisher: |
Washington, D.C. : Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board |
| Subject: | Bayesian estimation | Maximum likelihood estimation | Online forecasting | Out-of-sample forecasting | Parameter uncertainty | Sequential Monte Carlo methods | Trend-cycle decomposition | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Maximum-Likelihood-Schätzung | Dekompositionsverfahren | Decomposition method | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | VAR-Modell | VAR model |
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