Harrison-Stevens Forecasting and the Multiprocess Dynamic Linear Model

DOI10.2307/2684871MaRDI QIDQ3725401zbMATH OpenOpenAlexFDO

Authors William M. Bolstad

Publication date 1986

Published in The American Statistician (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2684871

zbMATH Keywords

Kalman filterBayesianforecastingchange pointrobust methodnonstationary time seriestheoremshort-term forecastingmultiprocess dynamic linear modelBayes'sHarrison-Stevens forecasting algorithm

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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• Bayesian estimation procedure in multiprocess non-linear dynamic generalized model

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