A State Space Modeling Approach for Time Series Forecasting
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Publication:3723545
DOI10.1287/mnsc.31.11.1451zbMath0593.62096MaRDI QIDQ3723545
Publication date: 1985
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.31.11.1451
Kalman filter; forecasting; state space models; state space model; adaptive smoothing; autocorrelated time series; autoregressive integrated-moving average class; initial values determination; nonseasonal and seasonal time series; on-line recursive estimation
62M20: Inference from stochastic processes and prediction
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