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Type: Artigo de periódico
Title: A multiplicative seasonal growth model for multivariate time series analysis and forecasting
Author: Barbosa, EP
Sadownik, R
Abstract: This paper is devoted to a model for analysis and forecasting of vector time series and the corresponding procedure of Bayesian sequential estimation. This model can also be viewed as a multivariate extension of the (univariate) seasonal growth multiplicative model (Harrison, 1965; Migon, 1984). The basic structure of this multivariate model consists of a locally linear trend component for each individual series and a shared multiplicative seasonal component, common to all marginal series. The procedure of sequential estimation is based on analytic approximations to obtain a conjugate analysis and represents a nonlinear extension of the algorithm presented by Barbosa and Harrison (1992). Details of the proposed procedure and its practical implementation are shown, and two numerical examples are provided.
Subject: approximate bayesian estimation
vector time series
nonlinear models
shared component
Country: EUA
Editor: Marcel Dekker Inc
Rights: fechado
Identifier DOI: 10.1080/03610919908813550
Date Issue: 1999
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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