State space modeling of non-standard actuarial time series (Q1209476)
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scientific article; zbMATH DE number 167974
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | State space modeling of non-standard actuarial time series |
scientific article; zbMATH DE number 167974 |
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State space modeling of non-standard actuarial time series (English)
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16 May 1993
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Gibbs sampling
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non-Gaussian errors
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nonlinear models
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state-space model
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multivariate time-series modeling
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forecasting
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smoothing
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credibility theory
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Kalman filter algorithm
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Monte Carlo integration techniques
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review
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incorporation of covariates
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direct modeling of non-stationary series without differencing
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multivariate analysis
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non-normal error assumptions
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density estimation for future observations
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0.89898205
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0.8647884
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0.8624207
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