Multiple steps prediction using MCMC

Questions
1

Dear all,

Good day.
Is anyone has idea how to predict multiple steps ahead using MCMC?
based on my understanding, in MCMC, future is depend on current state.
May I know how to predict multiple steps ahead?

For example at current state t, I wish to predict t+1, t+2 and t+3?

Thanks

2

Can you elaborate? MCMC is not really being used to predict states in our library but to create a Markov chain that resembles a posterior distribution.

Are you perhaps thinking about Markov Matrices that represent transition probabilities between states at different time steps?

3

Hi @ricardoV94 ,

I am investigate some speed prediction for vehicle.
For example at time t=2, I can predict the velocity for t=3.

What if I want to train a model that at time t=2, I can predict velocity for time t=3, t=4, … for multiple steps.
I wonder how can I train this model.
I have an idea of manipulating with the observed data, which means,
In original, I train a data which can observe t=2 and t=3 only.
But now I train with observed data including t=2, t=3, t=4 and so on.

But the concept still value at t3 depends on t2 and so on.
I working on time series data, so I working with sequence of data or I prefer to call it a buffer or window.
For example, I have a window size of 60, which are the past and current state at time 60, then I will predict value at t=61.
So at t=60, I can predict value at t=61.
Now I wish to predict t=61, 62 and so on, with current state of t=60.

Please let me know if my elaboration still not clear enough.

Thanks