[Forum SIS] seminario Steven Scott in Bicocca

[fabio.bellini]

Cari colleghi, vi segnalo che il giorno venerdì 2 
settembre alle ore 17, presso la Sala del Consiglio al IV 
piano dell'edificio U7, Steven Scott, Senior Economic 
Analyst at Google, terrà un seminario su

Predicting the Present with Bayesian Structural Time 
Series

Abstract

This article describes a system for short term forecasting 
based on an ensemble prediction that averages over 
different combinations of predictors. The system combines 
a structural time series model for the target series with 
regression component capturing the contributions of 
contemporaneous search query data. A spike-and-slab prior 
on the regression coefficients induces sparsity, 
dramatically reducing the size of the regression problem. 
Our system averages over potential contributions from a 
very large set of models and gives easily digested reports 
of which coefficients are likely to be important. We 
illustrate with applications to initial claims for 
unemployment benefits and to retail sales. Although our 
exposition focuses on using search engine data to forecast 
economic time series, the underlying statistical methods 
can be applied to more general short term forecasting with 
large numbers of contemporaneous predictors (joint work 
with Hal Varian).

Tutti gli interessati sono invitati a partecipare; 
l'evento è organizzato in collaborazione con Innovation 
Pub.