Observable trend-projecting state-space models

DOI10.1080/02664760120034117MaRDI QIDQ4540870zbMATH OpenOpenAlexFDO

Authors E. J. Godolphin

Publication date 28 July 2002

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664760120034117

zbMATH Keywords

agricultural sales data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20)

Recommendations

• An introduction to state space time series analysis.
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Cites work

• Bayesian forecasting and dynamic models.
• Diagnosing Shocks in Time Series
• scientific article; zbMATH DE number 847277 (Why is no real title available?)
• scientific article; zbMATH DE number 3327313 (Why is no real title available?)
• Markovian representation of stochastic processes and its application to the analysis of autoregressive moving average processes

Cited in

(4)

• Posterior mean and variance approximation for regression and time series problems
• On the Evaluation of the Information Matrix for Multiplicative Seasonal Time-Series Models
• Feedback quality adjustment with Bayesian state‐space models
• Decomposition of time series models in state-space form

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