The Role of Linear Recursive Estimators in Time Series Forecasting

DOI10.1287/MNSC.31.2.188MaRDI QIDQ3740865zbMATH OpenOpenAlexFDO

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

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)

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