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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

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Chicago
ICMJE
MLA
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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