Multivariate discount weighted regression and local level models

DOI10.1016/J.CSDA.2005.07.003MaRDI QIDQ959454zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos

Publication date 11 December 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2005.07.003

zbMATH Keywords

Kalman filtertime seriesstate space modelsdynamic linear modelsBayesian forecastingdiscount weighted regressionlocal level models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

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• An Appraisal and Bibliography of Tests for Multivariate Normality
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Automatic monitoring and intervention in multivariate dynamic linear models
• Bayesian forecasting and dynamic models.
• Decomposition of time series models in state-space form
• Discount Weighted Regression
• Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model
• Sequential Monte Carlo Methods in Practice
• Time series analysis by state space methods

Cited in

(7)

• Feedback quality adjustment with Bayesian state‐space models
• Bound and convergence of the non-constant dynamic linear model
• Posterior mean and variance approximation for regression and time series problems
• Reference Priors for Matrix-Variate Dynamic Linear Models
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Improved response surface method for anti-slide reliability analysis of gravity dam based on weighted regression
• Discount Weighted Regression

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