Bayesian forecast combination and Kalman filtering

DOI10.1080/00207728908910233MaRDI QIDQ4733805zbMATH OpenOpenAlexFDO

Authors G. (Anand) Anandalingam, Li-An Chen

Publication date 1989

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728908910233

zbMATH Keywords

bayesian forecast combination modelKalman filterone-step ahead forecasts

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11)

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Cites work

• A Bayesian Approach to the Linear Combination of Forecasts
• Combining Expert Judgments: A Bayesian Approach
• Combining Probability Distributions from Dependent Information Sources
• Consensus of opinion
• scientific article; zbMATH DE number 4089457 (Why is no real title available?)
• scientific article; zbMATH DE number 3434940 (Why is no real title available?)
• Modeling expert judgements for Bayesian updating
• Reconciliation of Probability Distributions

Cited in

(8)

• Dynamic Bayesian predictive synthesis in time series forecasting
• Bayesian estimation and the Kalman filter
• Conditional forecasts on SVAR models using the Kalman filter
• Distributional Kalman filters for Bayesian forecasting and closed form recurrences
• Bayesian aggregation of two forecasts in the partial information framework
• A redressed combinatorial forecast model with multiple indices
• scientific article; zbMATH DE number 1424453 (Why is no real title available?)
• Probabilistic Forecasting and Bayesian Data Assimilation

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