ON-LINE VARIANCE ESTIMATION FOR THE STEADY STATE BAYESIAN FORECASTING MODEL

DOI10.1111/j.1467-9892.1982.tb00345.xzbMath0502.62084OpenAlexW1986653828MaRDI QIDQ3968348

F. R. Johnston, N. Cantarelis

Publication date: 1982

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1982.tb00345.x

zbMATH Keywords

linear modelKalman filterone-line variance estimationsteady state Bayesian forecasting model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Filtering in stochastic control theory (93E11)

Related Items (4)

ON-LINE VARIANCE ESTIMATION FOR THE STEADY STATE BAYESIAN FORECASTING MODEL ⋮ Recent developments in time series forecasting ⋮ Unnamed Item ⋮ Real-time covariance estimation for the local level model

Cites Work

• ON-LINE VARIANCE ESTIMATION FOR THE STEADY STATE BAYESIAN FORECASTING MODEL
• A Bayesian Approach to Short-term Forecasting
• Unnamed Item

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