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A Comparison of the Characteristics of Some Bayesian Forecasting Models

J. Q. Smith
International Statistical Review / Revue Internationale de Statistique
Vol. 60, No. 1 (Apr., 1992), pp. 75-87
DOI: 10.2307/1403502
Stable URL: http://www.jstor.org/stable/1403502
Page Count: 13
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A Comparison of the Characteristics of Some Bayesian Forecasting Models
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Abstract

Several different types of non-linear Bayesian forecasting models are contrasted and compared. Each is shown capable of producing coherent forecasting methodologies. A set of desirable properties is presented to help guide the practitioner in a choice of an appropriate forecasting scheme for his particular application. Some characterizations and impossibility theorems are then given. The paper ends by illustrating how to adapt the Dynamic Generalized Linear Model to make it coherent. /// Plusieurs variétés différentes de modèles non-linéaires de prévision Bayesienne sont contrastées et comparées. Chacune est montrée être capable de produire une méthodologie cohérente pour la prévision. Un ensemble de propriétés désirables est présenté afin d'assister et de guider le practicien au choix d'un système pour la prévision qui est approprié à son application particulière. Ensuite on donne quelques caractérisations et quelques théorèmes d'impossibilité. On termine en illustrant comment modifier le Modèle Linéaire Généralisé Dynamique pour qu'il devienne cohérent.

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