A Recursive Kalman Filter Forecasting Approach

DOI10.1287/mnsc.29.11.1325zbMath0521.62077OpenAlexW2146388360MaRDI QIDQ3670403

Douglas R. Kahl, Johannes Ledolter

Publication date: 1983

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.29.11.1325

zbMATH Keywords

predictionforecastingtime-varying coefficientscost effectivenesstime series modelsforecasting accuracyrecursive Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

Conditionally gaussian distributions and an application to kalman filtering with stochastic regressors ⋮ Exact predictors for a generalized ar(1) process with an ar(1) parameter

This page was built for publication: A Recursive Kalman Filter Forecasting Approach