The Role of Linear Recursive Estimators in Time Series Forecasting

DOI10.1287/MNSC.31.2.188zbMATH Open0604.62093OpenAlexW2092430922MaRDI QIDQ3740865FDOQ3740865

Authors:

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1287/mnsc.31.2.188

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zbMATH Keywords

Kalman filtertime series forecastingstabilitygeneralized least squaresCarbone-Longini adaptive estimationconstant and variable parameter proceduresdynamic autoregressionlinear recursive estimatorMakridakis-Wheelwright generalized adaptive filteringWidrow's least mean square

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (5)

• A novel signal extraction approach for filtering and forecasting noisy exponential series
• Forecasting with Using Quasilinear Recurrence Equation
• Title not available (Why is that?)
• On trend estimation of time-series: a simple linear programming approach
• Modeling of time series with batch and recursive methods. Development of adaptive estimators and predictors

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