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Bayesian forecast combination and Kalman filtering

 

作者: G. ANANDALINGAM,   LIAN CHEN,  

 

期刊: International Journal of Systems Science  （Taylor Available online 1989）
卷期: Volume 20, issue 8  

页码: 1499-1507

 

ISSN:0020-7721

 

年代: 1989

 

DOI:10.1080/00207728908910233

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A bayesian model for one-step ahead forecasts is derived by allowing the forecasters to be biased and correlated. It is shown that this general bayesian forecast combination model is equivalent to the Kalman filter, and this correspondence is used to give a k-step ahead forecast combination model.

 

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