Bibliography
Conference Paper (international conference)
Mixture Multi-Step-Ahead Prediction
, ,
: Proceedings of the 16th conference of the Applied Stochastic Models and Data Analysis (ASMDA) International Society, p. 727-738
: The 16th conference of the Applied Stochastic Models and Data Analysis (ASMDA) International Society, (Piraeus, GR, 30.06.2015-4.07.2015)
: GA15-03564S, GA ČR, 7H14004, GA MŠk, 7H14005, GA MŠk
: mixture model, mixture prediction, recursive mixture estimation, dynamic pointer, active component
: http://library.utia.cas.cz/separaty/2015/ZS/suzdaleva-0450479.pdf
(eng): The presented paper deals with a task of the multi-step prediction with mixture models under Bayesian methodology. The main contribution of the paper is a recursive prediction algorithm for mixtures with the dynamic switching model. The proposed algorithm is based on construction of the weighting vector predicting the active component and its combination with data predictions from components. With the help of illustrative examples the paper compares the results with those obtained for the mixture prediction with the static switching model.
: BB