Bayesian data analysis in modeling and forecasting nonlinear nonstationaryfinancial and economic processes

• Published in: Проблеми керування та інформатики
• Date: 2023
• Main Authors: Trofymchuk, O., Bidyuk, P., Prosyankina-Zharova, T., Terentiev, O.
• Format: Article
• Language: English
• Published: Інститут кібернетики ім. В.М. Глушкова НАН України 2023
• Subjects: Стохастичні системи, нечіткі множини
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/211049
• Journal Title: Digital Library of Periodicals of National Academy of Sciences of Ukraine
• Cite this: Bayesian data analysis in modeling and forecasting nonlinear nonstationaryfinancial and economic processes / O. Trofymchuk, P. Bidyuk, T. Prosyankina-Zharova, O. Terentiev // Проблеми керування та інформатики. — 2023. — № 4. — С. 71-83. — Бібліогр.: 24 назв. — англ.

The article provides a brief overview of modern Bayesian data analysis methods, highlighting the use of generalized linear models (GLMs) in the analysis of nonlinear non-stationary processes, emphasizing their capabilities and application to processes of various types. The article presents an exampl...