A review of Bayesian dynamic forecasting models: Applications in marketing

We briefly review the main developments of Bayesian dynamic models. The emphasis is on marketing applications. Typical examples in this area are discussed. The concepts of monitoring and intervention are carefully explained with illustrative examples and open source computational routines. We avoid algebraic developments and instead use graphical examples to illustrate theoretical aspects. Two real‐world problems using Bayesian dynamic models are discussed. Finally, we describe recent developments and alternative proposals to formally address the dependence when dealing with the modeling of multiple time series.