Method evidence record

Time series Bayesian hierarchical model

A time series Bayesian hierarchical model combines the hierarchical (multilevel) Bayesian framework with a dynamic state-space structure to analyse temporal data collected on multiple units or groups. Priors encode beliefs about both within-unit dynamics and cross-unit variation, and the posterior is obtained via MCMC or sequential Monte Carlo, yielding full probabilistic forecasts with calibrated uncertainty.

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Time Series Bayesian Hierarchical Model

Taxonomic method record · bayesian / bayesian

West, M. & Harrison, J. (1997). Bayesian Forecasting and Dynamic Models (2nd ed.). Springer. · ISBN 978-0387947259
Gelman, A., Carlin, J. B., Stern, H. S., Dunson, D. B., Vehtari, A. & Rubin, D. B. (2013). Bayesian Data Analysis (3rd ed.). CRC Press. · ISBN 978-1439840955

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Related methods

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Same method familyBayesian Regressionmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketDynamic Bayesian Networkmachine-suggested · Relational suggestion, not evidence.Taxonomic bucketHierarchical Bayesian Inferencemachine-suggested · Relational suggestion, not evidence.Taxonomic bucketKalman Filtermachine-suggested · Relational suggestion, not evidence.Taxonomic bucketMultilevel Bayesian Inferencemachine-suggested · Relational suggestion, not evidence.Taxonomic bucketTime series MCMCmachine-suggested · Relational suggestion, not evidence.