San Francisco Chapter of the American Statistical Association
Seminar
Time |
Oct 17th from 4:30-6pm |
Speaker |
Steven L Scott from Google |
Title |
Predicting the Present with Bayesian Structural
Time Series |
Abstract: This presentation 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 scarcity, 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.
Location: Benghazi Tech Talk, located in building 43 on
Google Campus Address is 1600 Amphitheatre Parkway, Mountain View, CA
94043
Registration: Attendees
should email their name (consistent with the name on their ID that will need to
be shown at the lobby), affiliation as well as contact email to the following
email address: sfasaofficers@gmail.com by Oct 13th.
Return
to Bay
Area ASA Homepage