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Key, P. B.; Godolphin, E. J.

On the Bayesian steady forecasting model. (English) Zbl 0456.62075

J. R. Stat. Soc., Ser. B. 43, 81-96 (1981).
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Cited in 1 Document

MSC:

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

Keywords:

Bayesian steady forecasting model; non-normality; exponential family; constant forecast model; dynamic linear model; exponentially weighted moving average; non-stationary time series; predictive distribution

Citations:

Zbl 0432.62068; Zbl 0349.62062
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