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

Bayes'sBayesianchange pointforecastingHarrison-Stevens forecasting algorithmKalman filtermultiprocess dynamic linear modelnonstationary time seriesrobust methodshort-term forecastingtheorem

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cited in

(5)

• Bayesian estimation procedure in multiprocess non-linear dynamic generalized model
• Estimation in the multiprocess dynamic generlized linear model
• An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model
• Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models
• Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes

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