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

DOI10.1007/BF02589240MaRDI QIDQ3598281zbMATH OpenFDO

Authors Fabio Corradi, Giuseppina Guagnano

Publication date 3 February 2009

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

Full work available at URL https://doi.org/10.1007/BF02589240

zbMATH Keywords

conditional estimatesdynamic linear modelsKalman filtermissing datamultivariate time series

Mathematics Subject Classification ID

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

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Cites work

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

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