donotdespair/Bayesian-Autoregressions

Forecasting

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donotdespair commented

Hey @mandyxmg and @vsonnemans

Please, provide inputs to the Forecasting section of the doc.

Please include the following parts:

  1. Conditional predictive density one period ahead - this part is assigned to @mandyxmg
  2. Algorithm to sample from the predictive density with the description of how the latest draws of parameters and forecasted values are used in the iterative forecast - this part is assigned to @vsonnemans
  3. Sampler implementation in R for a single draw s but at all horizons h=1,...,H

Introduce the material using the notation in line with that established in section Autoregressions.

Please, create a Pull Request and include there all your commits containing contributions to this section. In your commits, please, include changes only to the index.qmd file. Could you make your submission clear, making instructive comments on the individual commits? If you're planning to introduce changes to other parts of the website, you can do that in a separate pull request. This would require you either to play with the branches to which you commit changes in GitHub Desktop or to wait to introduce changes to other parts of the page later on when you submit the Pull Request about your section.

donotdespair commented

Hey @vsonnemans

How are you? May I suggest that in your part of this section, you describe how the conditional one-period-ahead (frequentist) predictive density is used to perform Bayesian prediction h periods ahead?

Please, let me know what you think.

Greetings,

Tomasz