Multivariate discount weighted regression and local level models
From MaRDI portal
Publication:959454
DOI10.1016/j.csda.2005.07.003zbMath1445.62243OpenAlexW1990058684MaRDI QIDQ959454
Publication date: 11 December 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.07.003
time seriesKalman filterstate space modelsBayesian forecastingdynamic linear modelsdiscount weighted regressionlocal level models
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
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