Posts tagged bayesian structural timeseries
Forecasting with Structural AR Timeseries
- 20 October 2022
- Category: intermediate
Bayesian structural timeseries models are an interesting way to learn about the structure inherent in any observed timeseries data. It also gives us the ability to project forward the implied predictive distribution granting us another view on forecasting problems. We can treat the learned characteristics of the timeseries data observed to-date as informative about the structure of the unrealised future state of the same measure.