Kalman Filtering Applied to Statistical Forecasting

DOI10.1287/MNSC.23.7.768MaRDI QIDQ4127828zbMATH OpenOpenAlexFDO

Authors G. W. Morrison, D. H. Pike

Publication date 1977

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.23.7.768

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

Cited in

(2)

• Recursive estimation of the observation and process noise covariances in online Kalman filtering
• Demand forecasting of individual probability density functions with machine learning

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