Chaya Weerasinghe, Rubén Loaiza-Maya, Gael M. Martin, David T. Frazier
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引用次数: 0
Abstract
Approximate Bayesian Computation (ABC) has gained popularity as a method for conducting inference and forecasting in complex models, most notably those which are intractable in some sense. In this paper, we use ABC to produce probabilistic forecasts in state space models (SSMs). Whilst ABC-based forecasting in correctly-specified SSMs has been studied, the misspecified case has not been investigated. It is this case that we emphasize. We invoke recent principles of ‘focused’ Bayesian prediction, whereby Bayesian updates are driven by a scoring rule that rewards predictive accuracy; the aim being to produce predictives that perform well in that rule, despite misspecification. Two methods are investigated for producing the focused predictions. In a simulation setting, ‘coherent’ predictions are in evidence for both methods. That is, the predictive constructed using a particular scoring rule often predicts best according to that rule. Importantly, both focused methods typically produce more accurate forecasts than an exact but misspecified predictive, in particular when the degree of misspecification is marked. An empirical application to a truly intractable SSM completes the paper.
期刊介绍:
The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.