Kalman Filtering Applied to Statistical Forecasting

DOI10.1287/MNSC.23.7.768zbMATH Open0356.62071OpenAlexW2006887883MaRDI QIDQ4127828FDOQ4127828

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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