Monitoring and Adaptation in Bayesian Forecasting Models
作者:
Mike West,
P.Jeff Harrison,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1986)
卷期:
Volume 81,
issue 395
页码: 741-750
ISSN:0162-1459
年代: 1986
DOI:10.1080/01621459.1986.10478331
出版商: Taylor & Francis Group
关键词: Dynamic models;Change points;Forecast control;Predictive ability;Outliers;Tracking signals
数据来源: Taylor
摘要:
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.
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