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08/10/2023
Solving the Forecast Combination Puzzle
We demonstrate that the forecasting combination puzzle is a consequence ...
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03/03/2023
Optimal probabilistic forecasts for risk management
This paper explores the implications of producing forecast distributions...
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12/07/2022
Bayesian Forecasting in the 21st Century: A Modern Review
The Bayesian statistical paradigm provides a principled and coherent app...
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08/01/2022
Computing Bayes: From Then 'Til Now'
This paper takes the reader on a journey through the history of Bayesian...
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06/06/2022
The Impact of Sampling Variability on Estimated Combinations of Distributional Forecasts
We investigate the performance and sampling variability of estimated for...
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12/23/2021
ABC of the Future
Approximate Bayesian computation (ABC) has advanced in two decades from ...
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12/20/2021
Approximating Bayes in the 21st Century
The 21st century has seen an enormous growth in the development and use ...
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06/23/2021
A Note on the Accuracy of Variational Bayes in State Space Models: Inference and Prediction
Using theoretical and numerical results, we document the accuracy of com...
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04/29/2021
Loss-Based Variational Bayes Prediction
We propose a new method for Bayesian prediction that caters for models w...
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09/21/2020
Optimal probabilistic forecasts: When do they work?
Proper scoring rules are used to assess the out-of-sample accuracy of pr...
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04/14/2020
Computing Bayes: Bayesian Computation from 1763 to the 21st Century
The Bayesian statistical paradigm uses the language of probability to ex...
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12/29/2019
Focused Bayesian Prediction
We propose a new method for conducting Bayesian prediction that delivers...
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08/20/2019
Forecasting observables with particle filters: Any filter will do!
We investigate the impact of filter choice on forecast accuracy in state...
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03/19/2019
Optimal Bias Correction of the Log-periodogram Estimator of the Fractional Parameter: A Jackknife Approach
We use the jackknife to bias correct the log-periodogram regression (LPR...
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12/20/2017
Approximate Bayesian Forecasting
Approximate Bayesian Computation (ABC) has become increasingly prominent...
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08/05/2017