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A General Purpose Approximation to the Ferguson-Klass Algorithm for Sampling from Lévy Processes Without Gaussian Components

A loss discounting framework for model averaging and selection in time series models

We introduce a Loss Discounting Framework for forecast combination which generalises and combines Bayesian model synthesis and generalized Bayes methodologies. The framework allows large scale model averaging/selection and is also suitable for …

Discussion of 'Multivariate dynamic modeling for Bayesian forecasting of business revenue' by AK Yanchenko et al.