Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

DOI10.1007/BF02589240zbMATH Open1446.62239MaRDI QIDQ3598281FDOQ3598281

Authors: Fabio Corradi, Giuseppina Guagnano 

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

Recommendations

• Missing observation analysis for matrix-variate time series data
• Miscellanea. Estimation of missing values in possible partially nonstationary vector time series
• scientific article; zbMATH DE number 472978
• Dynamic mixed models for irregularly observed time series
• scientific article; zbMATH DE number 4022433

zbMATH Keywords

Kalman filtermissing datamultivariate time seriesdynamic linear modelsconditional estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Missing data (62D10)

Cites Work

• Some matrix-variate distribution theory: Notational considerations and a Bayesian application
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model

This page was built for publication: Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3598281)