Narrow search
Showing 1 - 3 of 3
Cover Image
Optimal Prediction Pools
Geweke, John; Amisano, Gianni - 2009
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10003831826
Cover Image
Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John; Amisano, Gianni - 2008
Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...
Persistent link: https://www.econbiz.de/10003825870
Cover Image
Analysis of variance for bayesian inference
Geweke, John; Amisano, Gianni - 2011
practical simulation algorithm to estimate the corresponding components of variance. It specifically addresses variance in … produce simulation-consistent estimates of all of these components, and the method demands little additional effort or … ; Bayesian inference ; predictive distributions ; posterior simulation …
Persistent link: https://www.econbiz.de/10009405593