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Prediction Rules for Exponential Family State Space Models

✍ Scribed by Gary K. Grunwald, Peter Guttorp and Adrian E. Raftery


Book ID
125789554
Publisher
Blackwell Publishing
Year
1993
Tongue
English
Weight
593 KB
Volume
55
Category
Article
ISSN
0035-9246

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Three general classes of state space models are presented, using the single source of error formulation. The first class is the standard linear model with homoscedastic errors, the second retains the linear structure but incorporates a dynamic form of heteroscedasticity, and the third allows for non