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Distributional Kalman filters for Bayesian forecasting and closed form recurrences
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Smith, J. Q. and Freeman, Guy (2010) Distributional Kalman filters for Bayesian forecasting and closed form recurrences. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. Working papers, Vol.2010 (No.13).
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Abstract
Over the last 50 years there has been an enormous explosion in developing full distributional analogues of the Kalman filter. In this paper we
explore some of the ways analogues of the orginal second order processes
discovered by Kalman have their analogues in Bayesian state space models. Many of these analogues need to be calculated using numerical methods like MCMC so they retain, or even enhance the descriptive power of
the Kalman Filter, but at a cost of transparency. However, if the analogues are drawn properly, elegant recurrence relationships - like those of
the Kalman Filter - can still be developed that apply at least for one step
ahead forecast distribution. In this paper we explore the variety of ways
such models have been built, in particular with respect to graphical time
series models.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Kalman filtering, State-space methods | ||||
Series Name: | Working papers | ||||
Publisher: | University of Warwick. Centre for Research in Statistical Methodology | ||||
Place of Publication: | Coventry | ||||
Official Date: | July 2010 | ||||
Dates: |
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Volume: | Vol.2010 | ||||
Number: | No.13 | ||||
Number of Pages: | 16 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Date of first compliant deposit: | 1 August 2016 | ||||
Date of first compliant Open Access: | 1 August 2016 | ||||
Version or Related Resource: | Smith, J.Q. and Freeman, G. (2011). Distributional Kalman filters for Bayesian forecasting and closed form recurrences. Journal of Forecasting, 30(1), pp. 210-224. http://wrap.warwick.ac.uk/id/eprint/41653 | ||||
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