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| Titel: |
A multiplicative seasonal growth model for multivariate time series analysis and forecasting |
| Auteur: |
Barbosa, Emanuel Pimentel Sadownik, Regina |
| Verschenen in: |
Communications in statistics |
| Paginering: | Jaargang 28 (1999) nr. 2 pagina's 291-308 |
| Jaar: |
1999 |
| Inhoud: |
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. |
| Uitgever: |
Taylor & Francis |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 3 van 16 gevonden artikelen
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