Monitoring and adaptation in Bayesian forecasting models
Publication
, Journal Article
West, M; Harrison, PJ
Published in: Journal of the American Statistical Association
January 1, 1986
Practical aspects of a new technique for monitoring and controlling the predictive performance of Bayesian forecasting models are discussed. The basic features of the approach to model monitoring introduced in a general setting in West (1986) are described and extended to a wide class of dynamic, nonnormal, and nonlinear Bayesian forecasting models. An associated method of automatically detecting and rejecting outliers and adapting models to abrupt structural changes in the time series is also discussed. The resulting forecast monitoring and control scheme is simply constructed and applied and is illustrated in two applications. © 1976 Taylor & Francis Group, LLC.
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Published In
Journal of the American Statistical Association
DOI
EISSN
1537-274X
ISSN
0162-1459
Publication Date
January 1, 1986
Volume
81
Issue
395
Start / End Page
741 / 750
Related Subject Headings
- Statistics & Probability
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics
Citation
APA
Chicago
ICMJE
MLA
NLM
West, M., & Harrison, P. J. (1986). Monitoring and adaptation in Bayesian forecasting models. Journal of the American Statistical Association, 81(395), 741–750. https://doi.org/10.1080/01621459.1986.10478331
West, M., and P. J. Harrison. “Monitoring and adaptation in Bayesian forecasting models.” Journal of the American Statistical Association 81, no. 395 (January 1, 1986): 741–50. https://doi.org/10.1080/01621459.1986.10478331.
West M, Harrison PJ. Monitoring and adaptation in Bayesian forecasting models. Journal of the American Statistical Association. 1986 Jan 1;81(395):741–50.
West, M., and P. J. Harrison. “Monitoring and adaptation in Bayesian forecasting models.” Journal of the American Statistical Association, vol. 81, no. 395, Jan. 1986, pp. 741–50. Scopus, doi:10.1080/01621459.1986.10478331.
West M, Harrison PJ. Monitoring and adaptation in Bayesian forecasting models. Journal of the American Statistical Association. 1986 Jan 1;81(395):741–750.
Published In
Journal of the American Statistical Association
DOI
EISSN
1537-274X
ISSN
0162-1459
Publication Date
January 1, 1986
Volume
81
Issue
395
Start / End Page
741 / 750
Related Subject Headings
- Statistics & Probability
- 1603 Demography
- 1403 Econometrics
- 0104 Statistics