Bayesian Forecasting and Dynamic Models 机器学习和贝叶斯的经典教材
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Bayesian Forecasting and Dynamic Models
by Mike West Jeff Harrison


CHAPTER 1
INTRODUCTION . 1
1.1 MODELLING, LEARNING AND FORECASTING. . 1
1.1.1 Perspective. . . . . . . 1
1.1.2 Model structure. . . . . 2
1.1.3 The role of mathematics . 5
1.1.4 Dynamic models . . 5
1.1.5 Routine Learning . . . . 6
1.1.6 Model construction . . . 7
1.2 FORECAST AND DECISION SYSTEMS . 9
1.2.1 Integration. . . . . . . 9
1.2.2 Choice of information . 10
1.2.3 Prospective Intervention 13
1.2.4 Monitoring. . . . . . 15
1.2.5 Retrospective Assessment 16
1.2.6 Utilities and Decisions . . 16
1.2.7 Macro and micro forecasts 21
1.3 BAYESIAN MODELLING AND FORECASTING 23
1.3.1 Preliminaries . . 23
1.3.2 Basic notation . . . . . . . . . . . . . 24
1.3.3 Dynamic models . . . . . . . . . . . . 26
1.4 HISTORICAL PERSPECTIVE AND BIBLIOGRAPHIC

CHAPTER 2
INTRODUCTION TO THE DLM: THE FIRST-ORDER
POLYNOMIAL MODEL .............. 37
2.1 INTRODUCTION . . . . . . . . . . . . . . 37
2.2 THE DLM AND RECURRENCE RELATIONSHIPS 40
2.2.1 Definition . . . . . 40
2.2.2 Updating equations . 40
2.2.3 Forecast distributions 45
2.3 THE CONSTANT MODEL 46
2.3.1 Introduction . . . . 46
2.3.2 Intervention to incorporate external information 50
2.3.3 Limiting behaviour and convergence . . . . 51
2.3.4 General comments ........... 53
2.3.5 Limiting predictors and alternative methods 54
2.3.6 Forecast distributions . . . . . . . . . . 56
2.4 SPECIFICATION OF EVOLUTION VARIANCE Wt 57
2.4.1 Robustness to values of W in the constant model 57
2.4.2 Discount factors as an aid to choosing Wt
2.5 UNKNOWN OBSERVATIONAL VARIANCES
2.5.1 Introduction . . . . . . . . . . . . .
2.5.2 The case of a constant unknown variance .
2.5.3 Summary ....
2.5.4 General comments
2.6 ILLUSTRATION.
2.7 APPENDIX .
2.8 EXERCISES . . .
CHAPTER 3
INTRODUCTION TO THE DLM: THE DYNAMIC
REGRESSION MODEL . . . . . . . . . .
3.1 INTRODUCTION . . . . . . . . . . .
3.2 THE MULTIPLE REGRESSION DLM ..
3.3 DYNAMIC STRAIGHT LINE THROUGH
THE ORIGIN ........... .
3.3.1 Introduction and definition . . . .
3.3.2 Updating and forecasting equations
3.3.3. General comments ...... .
3.3.4 lllustrations . . . . . . . . . .
3.4 MODEL VARIANCES AND SUMMARY
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