An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model

DOI10.1080/03610918608812544zbMath0603.62103OpenAlexW2039501630MaRDI QIDQ3740088

William M. Bolstad

Publication date: 1986

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918608812544

zbMATH Keywords

Kalman filtercorrelated errorsBayesian forecastingcomputationally efficient algorithmHarrison-Stevens forecastingmultiprocess multivariate dynamic linear modelnonstationary multivariate time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items (1)

Estimation in the multiprocess dynamic generlized linear model

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