A Bayesian Approach to Event Prediction
. In a series of papers, Lindgren (1975a, 1985) and de Maré (1980) set the principles of optimal alarm systems and obtained the basic results. Application of these ideas to linear discrete time‐series models was carried out by Svensson et al. (1996). In this paper, we suggest a Bayesian predictive...
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Published in | Journal of time series analysis Vol. 24; no. 6; pp. 631 - 646 |
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Main Authors | , , |
Format | Journal Article |
Language | English |
Published |
Oxford, UK
Blackwell Publishing Ltd
01.11.2003
Wiley Blackwell |
Series | Journal of Time Series Analysis |
Subjects | |
Online Access | Get full text |
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Summary: | . In a series of papers, Lindgren (1975a, 1985) and de Maré (1980) set the principles of optimal alarm systems and obtained the basic results. Application of these ideas to linear discrete time‐series models was carried out by Svensson et al. (1996). In this paper, we suggest a Bayesian predictive approach to event prediction and optimal alarm systems for discrete time series. There are two novelties in this approach: first, the variation in the model parameters is incorporated in the analysis; second, this method allows ‘on‐line prediction’ in the sense that, as we observe the process, our posterior probabilities and predictions are updated at each time point. |
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Bibliography: | ArticleID:JTSA326 ark:/67375/WNG-93TSS37H-9 istex:454DCAE9F0A87C3F1B1592CE19CC7193A02DDC95 ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0143-9782 1467-9892 |
DOI: | 10.1111/j.1467-9892.2003.00326.x |