Streaming Bayesian Modeling for predicting Fat-Tailed Customer Lifetime Value

Calabourdin, Alexey V., Aksenov, Konstantin A.

arXiv.org Artificial Intelligence 

We develop an online learning MCMC approach applicable for hierarchical bayesian models and GLMS. We also develop a fat-tailed LTV model that generalizes over several kinds of fat and thin tails. We demonstrate both developments on commercial LTV data from a large mobile app.