Forecasting with latent structure time s
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Sridhar Iyer; Rick L. Andrews
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Article
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1999
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John Wiley and Sons
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English
β 195 KB
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In this paper we develop a latent structure extension of a commonly used structural time series model and use the model as a basis for forecasting. Each unobserved regime has its own unique slope and variances to describe the process generating the data, and at any given time period the model predic