Hachemeister's Bayesian regression model revisited

DOI10.1016/0304-4076(83)90079-9zbMath0526.62093OpenAlexW1988845136MaRDI QIDQ594518

Ben Zehnwirth

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(83)90079-9

zbMATH Keywords

Kalman filtercredibility theoryGauss-Markov theoryforecast errorsgeneral Bayesian linear modelrecursive estimation of structural parametersrecursive premium formulae

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (1)

The growth curve model: a review

Cites Work

• Stochastic processes and filtering theory
• The credibility approach to experience rating
• Recursive credibility estimation
• SOME THEOREMS IN LEAST SQUARES
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