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Details for article 2 of 23 found articles
| Title: |
An efficient algorithm for Harrison-Stevens forecasting using the multi-process multivariate dynamic linear model |
| Author: |
Bolstad, William M. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 15 (1986) nr. 3 pages 819-828 |
| Year: |
1986 |
| Contents: |
This paper develops a computationally efficient algorithm for Harrison-Stevens forecasting in a multivariate time series which has correlated errors. The algorithm uses the observation vector one component at a time on the multiprocess multivariate dynamic linear model. This gives a computationally efficient, robust, quick adapting forecasting method for non stationary multivariate time series. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 2 of 23 found articles
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