Bayesian forecast combination and Kalman filtering

DOI10.1080/00207728908910233zbMath0683.93083OpenAlexW2002773126MaRDI QIDQ4733805

G. Anandalingam, Lian Chen

Publication date: 1989

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728908910233

zbMATH Keywords

Kalman filterbayesian forecast combination modelone-step ahead forecasts

Mathematics Subject Classification ID

Bayesian problems; characterization of Bayes procedures (62C10) Filtering in stochastic control theory (93E11)

Cites Work

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• Modeling expert judgements for Bayesian updating
• Consensus of opinion
• Reconciliation of Probability Distributions
• Combining Probability Distributions from Dependent Information Sources
• A Bayesian Approach to the Linear Combination of Forecasts
• Combining Expert Judgments: A Bayesian Approach

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