An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model (Q3740088)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model |
scientific article |
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An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model (English)
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1986
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Bayesian forecasting
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Kalman filter
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computationally efficient algorithm
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Harrison-Stevens forecasting
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correlated errors
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multiprocess multivariate dynamic linear model
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nonstationary multivariate time series
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