|
| << previous | next >> |
Journal description
All volumes of the corresponding journal
All issues of the corresponding volume
All articles of the corresponding issues
Details for article 3 of 16 found articles
| Title: |
A multiplicative seasonal growth model for multivariate time series analysis and forecasting |
| Author: |
Barbosa, Emanuel Pimentel Sadownik, Regina |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 28 (1999) nr. 2 pages 291-308 |
| Year: |
1999 |
| Contents: |
This paper is devoted to a model for analysis and forecasting of vector time series and the corresponding procedure of Bayesian sequential estimation. This model can also be viewed as a multivariate extension of the (univariate) seasonal growth multiplicative model(Harrison, 1965; Migon, 1984). The basic structure of this multivariate model consists of a locally linear trend component for each individual series and a shared multiplicative seasonal component, common to all marginal series.The procedure of sequential estimation is based on analytic approximations to obtain a conjugate analysis and represents a nonlinear extension of the algorithm presented by Barbosa and Harrison (1992). Details of the proposed procedure and its practical implementation are shown, and two numerical examples are provided. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 3 of 16 found articles
| << previous | next >> |