A Recursive Kalman Filter Forecasting Approach

DOI10.1287/MNSC.29.11.1325MaRDI QIDQ3670403zbMATH OpenOpenAlexFDO

Authors 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 series modelstime-varying coefficientscost effectivenessforecasting accuracyrecursive Kalman filter

Mathematics Subject Classification ID

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

Cited in

(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

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