BAYESIAN PREDICTION WITH LINEAR DYNAMIC MODEL: PRINCIPLE AND APPLICATION

Yun Li, Luiz Moutinho, Kwaku K Opong and Yang Pang

Chapter 13 in Quantitative Modelling in Marketing and Management, 2015, pp 323-342 from World Scientific Publishing Co. Pte. Ltd.

Abstract: In the business applications where only a few data is observed, statistical models estimated in frequentist framework is not reliable or even not obtainable. Bayesian updating, by calculating subjective probabilities conditional on real observations, could form optimal prediction given some prior belief. Through a demonstration of cash flow prediction example, the Bayesian method and a frequentist method, ordinary least square (OLS) to be specific, are compared. Bayesian model has similar performance as OLS in the example and moreover provides a solution to the situations where OLS is inapplicable.

Keywords: Quantitative Analysis; Modeling; Marketing Management; Statistical Modelling; Computer Modelling; Memetic Algorithm; Structural Equation Modelling; Artificial Neural Networks (search for similar items in EconPapers)
Date: 2015
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