Estimation in the multiprocess dynamic generlized linear model |
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| Authors: | M.Bolstad William |
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| Affiliation: | Department of Mathematics , University of waikato , Hamilton, New zealand |
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| Abstract: | The dynamic generalized linear model and the dynamic discount Bayesian model have been used to describe processes involving time-varying parameters. This paper develops an estimation algorithm for the multiprocess extension of these model. These algorithms have the same characteristics as Harrison-Steven forecasting, namely insensitivity to outliers and quick reaction to real change in the parameters. |
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| Keywords: | Bayesain forecasting dynamic discount bayesian model fault detection Harrison-stevens forecasting Kalman filter multiprocess models state space models |
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