1099-131X/asset/cover.gif?v=1&s=9c5c7e58eaaad51e6136554684ff8c6d0edb1574 "Journal of Forecasting")
Mike West is Associate Professor at the Institute of Statistics and Decision Sciences of Duke University, following several years as Lecturer in Statistics at the University of Warwick. He has published many works in Bayesian statistics and has consulted for various organizations in time series and forecasting. His research interests span several areas of Bayesian modelling and application, time series analysis and forecasting, and statistical computing.
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Article
Subjective intervention in formal models
Article first published online: 21 SEP 2006
DOI: 10.1002/for.3980080104
Copyright © 1989 John Wiley & Sons, Ltd.
Additional Information
How to Cite
West, M. and Harrison, J. (1989), Subjective intervention in formal models. J. Forecast., 8: 33–53. doi: 10.1002/for.3980080104
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Mike West is Associate Professor at the Institute of Statistics and Decision Sciences of Duke University, following several years as Lecturer in Statistics at the University of Warwick. He has published many works in Bayesian statistics and has consulted for various organizations in time series and forecasting. His research interests span several areas of Bayesian modelling and application, time series analysis and forecasting, and statistical computing.
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Jeff Harrison is Professor of Statistics at the University of Warwick, having been there since founding the Department of Statistics in 1972 following a career in industry. He is well known for his work in forecasting generally, having published widely in Bayesian forecasting and time series and consulted for numerous organizations in this area. He has wide research interests in statistics, notably including time series and forecasting, socio-economic modelling, catastrope theory, and statistical computing.
Publication History
- Issue published online: 21 SEP 2006
- Article first published online: 21 SEP 2006
- Manuscript Revised: JAN 1988
- Manuscript Received: SEP 1987
- Abstract
- References
- Cited By
Keywords:
- Bayesian forecasting;
- Dynamic models;
- Feedforward control;
- Intervention;
- Parametric change
Abstract
Success in forecasting using mathematical/statistical models requires that the models be open to intervention by the user. In practice, a model is only one component of a forecasting system, which also includes the users/forecasters as integral components. Interaction between the user and the model is necessary to adequately cater for events and changes that go beyond the existing form of the model. In this paper we consider Bayesian forecasting models open to interventions, of essentially any form, to incorporate subjective information made available to the user. We discuss principles of intervention and derive theoretical results that provide the means to formally incorporate feedforward interventions into Bayesian models. Two example time series are considered to illustrate why and when such interventions may be necessary to sustain predictive performance.