In this video, we want to forecast gold price (the high and the low price) using Dynamic Linear Model (DLM). The simple case of DLM would assume known variance, but in real life it is very common that those values are unknown. So, we are going to use Maximum Likelihood Estimation to get our variances, then use that estimation to get our one-step ahead forecast.

00:00 Intro
01:02 Data
04:39 What is MLE?
12:18 Apply MLE in R
16:48 Model building
20:00 Filtering and forecasting

Link to the source code: https://github.com/stephanielees/gold...

#timeseries #statistics #MaximumLikelihoodEstimation #MLE #forecasting #statistics #bayesian #gold #prediction #rprogramming