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Distributional Kalman filters for Bayesian forecasting and closed form recurrences
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Smith, J. Q. and Freeman, Guy (2011) Distributional Kalman filters for Bayesian forecasting and closed form recurrences. Journal of Forecasting, Volume 30 (Number 1). pp. 210-224. doi:10.1002/for.1207 ISSN 0277-6693.
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Official URL: http://dx.doi.org/10.1002/for.1207
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 how some of the second-order processes discovered by Kalman have their analogues in Bayesian state space models. Many of the analogues in the lierature need to be calculated using numerical methods like Markov chain Monte Carlo so they retain, or even enhance, the descriptive power of the Kalman filter, but at the cost of reduced 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 distributions. In this paper we explore the variety of ways such models have been built, in particular with respect to graphical time series models. Copyright (C) 2010 John Wiley & Sons, Ltd.
Item Type: | Journal Article | ||||
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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 | ||||
Journal or Publication Title: | Journal of Forecasting | ||||
Publisher: | John Wiley & Sons Ltd. | ||||
ISSN: | 0277-6693 | ||||
Official Date: | January 2011 | ||||
Dates: |
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Volume: | Volume 30 | ||||
Number: | Number 1 | ||||
Page Range: | pp. 210-224 | ||||
DOI: | 10.1002/for.1207 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Open Access (Creative Commons) | ||||
Version or Related Resource: | Smith, J.Q. and Freeman, G. (2010). Distributional Kalman filters for Bayesian forecasting and closed form recurrences. [Coventry] : University of Warwick. Centre for Research in Statistical Methodology. (Working papers, no.10-13). http://wrap.warwick.ac.uk/id/eprint/35104 | ||||
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Distributional Kalman filters for Bayesian forecasting and closed form recurrences. (deposited 10 Jun 2011 15:20)
- Distributional Kalman filters for Bayesian forecasting and closed form recurrences. (deposited 13 Feb 2012 09:44) [Currently Displayed]
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