Perform Dynamic Model Averaging with modifications introduced in Dangl and Halling (2012) using parallel computing.
|License:||GPL (>= 2)|
Leopoldo Catania & Nima Nonejad
Maintainer: Leopoldo Catania <[email protected]>
Raftery, Adrian E., Miroslav Karny, and Pavel Ettler. "Online prediction under model uncertainty via dynamic model averaging: Application to a cold rolling mill." Technometrics 52.1 (2010): 52-66.
Dangl, Thomas, and Michael Halling. "Predictive regressions with time-varying coefficients." Journal of Financial Economics 106.1 (2012): 157-181.
Raftery, Adrian E., David Madigan, and Jennifer A. Hoeting. "Bayesian model averaging for linear regression models." Journal of the American Statistical Association 92.437 (1997): 179-191.
Harrison, Jeff, and Mike West. Bayesian Forecasting & Dynamic Models. Springer, 1999.
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