Article

Efficient bayesian learning in non-linear dynamic models

  1. Andy Pole1,†,
  2. Mike West2,‡

Article first published online: 27 DEC 2006

DOI: 10.1002/for.3980090205

Issue

Journal of Forecasting

Journal of Forecasting

Volume 9, Issue 2, pages 119–136, March/April 1990

Additional Information

How to Cite

Pole, A. and West, M. (1990), Efficient bayesian learning in non-linear dynamic models. J. Forecast., 9: 119–136. doi: 10.1002/for.3980090205

Author Information

  1. 1

    University of Warwick, UK

  2. 2

    Duke University, USA

  1. †

    Associate Fellow of the University of Warwick. He has published several papers in Bayesian time series and Forecasting, and consulted for a number of organisations in this area. His research interests include time series and forecasting and statistical computing.

  2. ‡

    Associate Professor ar the Institute of Statisrics 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.

  1. †

    Associate Fellow of the University of Warwick. He has published several papers in Bayesian time series and Forecasting, and consulted for a number of organisations in this area. His research interests include time series and forecasting and statistical computing.

  2. ‡

    Associate Professor ar the Institute of Statisrics 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.

Publication History

  1. Issue published online: 27 DEC 2006
  2. Article first published online: 27 DEC 2006
  3. Manuscript Received: JUN 1988

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Keywords:

  • Quadrature;
  • Bayesian analysis;
  • Nonlinear dynamic models;
  • Forecasting;
  • Time series

Abstract

This paper demonstrates the practical application of recently developed techniques of efficient numerical analysis for dynamic models. The models presented share a common basic structural foundation but nevertheless cover a very large arena of possible applications, as will be shown.

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