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Index: Nowcasting, Small Areas and Polls

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Nowcasting, Small Areas and Polls

Routing Summary

This cluster covers real-time and small-sample estimation: reporting-delay nowcasts, Rt from the renewal equation, Fay-Herriot small-area estimation, dynamic poll aggregation and election-night updating, mixed-frequency and multi-sensor state-space fusion. It has 5 sub-folders and 27 notes, written to cover the methods used in the PyMC worked examples E38, E40, E90, E94-E99, E112 (examples page). Start from a source overview:

Sub-topics

  • Banbura et al 2013 - Now-casting and the Real-Time Data Flow (6 notes) — COVERS: Bańbura, Giannone, Modugno & Reichlin (2013, ECB Working Paper 1564; Handbook of Economic Forecasting vol. 2) review now-casting: estimating the present value of a slowly published, low-frequency target (such as GDP) from a ragged, mixed-frequency stream of releases. Their preferred framework is a joint state-space (dynamic factor) model fitted at high frequency, in which mixed frequency and…
  • Gostic 2020 - Practical Considerations for Measuring Rt (5 notes) — COVERS: Gostic et al. (2020, PLoS Comput Biol 16(12): e1008409) is a methods Perspective on estimating the effective reproductive number from surveillance data. Using synthetic SEIR data it recommends the Cori et al. (2013) instantaneous- estimator for real-time use and shows that the dominant errors come from the generation-interval specification, delays between infection and observation,…
  • Linzer 2013 - Dynamic Bayesian Forecasting of Presidential Elections (5 notes) — COVERS: Linzer (2013, JASA 108(501): 124-134) unifies structural (fundamentals) election forecasts with state-level trial-heat polls in one dynamic Bayesian model. A historical forecast gives an informative prior for the Election-Day logit vote share in each state; a “reverse” random walk anchored on Election Day carries that prior back through the campaign, so each state’s daily opinion is a…
  • McGough 2020 - Nowcasting by Bayesian Smoothing (6 notes) — COVERS: McGough, Johansson, Lipsitch & Menzies (2020, PLoS Comput Biol 16(4): e1007735) propose NobBS, a Bayesian log-linear chain-ladder nowcast whose weekly “true signal” follows a first-order (geometric) random walk and whose delay distribution has a Dirichlet prior. Linking cases across weeks makes nowcasts smoother and more robust than a pure delay-hazard model when the reporting delay drifts…
  • Molina Marhuenda 2015 - sae Small Area Estimation (5 notes) — COVERS: Molina & Marhuenda (2015, The R Journal 7(1): 81-98) describe the sae package and, with it, the standard frequentist toolkit for small area estimation (SAE): the Fay-Herriot (FH) area-level model, its spatial and spatio-temporal extensions, the Battese-Harter-Fuller (BHF) unit-level model, and empirical-best estimators for nonlinear targets such as poverty rates. The shared idea is shrinking…

Motivating PyMC examples

E38, E40, E90, E94-E99, E112 — see the worked examples page; each source Overview lists the examples it supports.

Sources

  • Banbura Giannone Modugno Reichlin 2013 - Now-casting and the Real-Time Data Flow
  • Gostic 2020 - Practical Considerations for Measuring the Effective Reproductive Number Rt
  • Linzer 2013 - Dynamic Bayesian Forecasting of Presidential Elections in the States
  • McGough 2020 - Nowcasting by Bayesian Smoothing
  • Molina Marhuenda 2015 - sae An R Package for Small Area Estimation

See Also

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