In this video, we are going to implement Dynamic Linear Model to forecast the high and the low price of gold on June 26, 2023. In particular, we are going to use polynomial model and seasonal effect model.

Here is the link to the source code: https://github.com/stephanielees/gold...

Note: In around 26:10, I said "2050". What I really meant was "250" 🙏

0:00 Introduction
0:58 Data
6:21 Brief introduction to DLM
9:21 The model components
12:02 Building models
20:55 Filtering and forecasting
23:33 The low price
24:53 The distribution of the one-step ahead forecast
31:53 Visualizations of the predictions
34:54 Statistical checks
37:53 The real prices

#timeseries #forecasting #rprogramming #gold
#bayesian