Multivariate discount weighted regression and local level models

DOI10.1016/j.csda.2005.07.003zbMath1445.62243OpenAlexW1990058684MaRDI QIDQ959454

Kostas Triantafyllopoulos

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.07.003

zbMATH Keywords

time seriesKalman filterstate space modelsBayesian forecastingdynamic linear modelsdiscount weighted regressionlocal level models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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Cites Work

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• Discount Weighted Regression
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