A State Space Modeling Approach for Time Series Forecasting

DOI10.1287/MNSC.31.11.1451MaRDI QIDQ3723545zbMATH OpenOpenAlexFDO

Authors Tep Sastri

Publication date 1985

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.31.11.1451

zbMATH Keywords

adaptive smoothingautocorrelated time seriesautoregressive integrated-moving average classforecastinginitial values determinationKalman filternonseasonal and seasonal time serieson-line recursive estimationstate space modelstate space models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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