Bayesian forecasting and detecting structural changepoints in dynamic models

DOI10.1080/03610929808832175MaRDI QIDQ3842908zbMATH OpenOpenAlexFDO

Authors Xiaodong Wang

Publication date 2 December 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832175

zbMATH Keywords

Kalman filterstopping timestructural changetracking process

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

Recommendations

• Monitoring and Adaptation in Bayesian Forecasting Models
• Dynamic detection of change points in long time series
• Estimation and comparison of multiple change-point models
• Bayesian analysis of autoregressive time series with change points
• A Bayesian Analysis of a Structural Change in the Parameters of a Time Series

Cites work

• Adaptive Filtering
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• scientific article; zbMATH DE number 3822927 (Why is no real title available?)
• scientific article; zbMATH DE number 4068688 (Why is no real title available?)
• scientific article; zbMATH DE number 3707574 (Why is no real title available?)

Cited in

(7)

• Bayesian forecasting and dynamic models
• scientific article; zbMATH DE number 4018119 (Why is no real title available?)
• The uncertainty of forecasting: models with structural change versus those without changing parameters
• Monitoring and Adaptation in Bayesian Forecasting Models
• scientific article; zbMATH DE number 1228879 (Why is no real title available?)
• A Dynamic Changepoint Model for Detecting the Onset of Growth in Bacteriological Infections
• Predicting the present with Bayesian structural time series

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