Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

DOI10.1007/BF02589240zbMath1446.62239MaRDI QIDQ3598281

Fabio Corradi, Giuseppina Guagnano

Publication date: 3 February 2009

Published in: Journal of the Italian Statistical Society (Search for Journal in Brave)

zbMATH Keywords

Kalman filtermissing datamultivariate time seriesdynamic linear modelsconditional estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Missing data (62D10)

Cites Work

• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Some matrix-variate distribution theory: Notational considerations and a Bayesian application

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