Journal of the Korean Data and Information Science Society
- 제6권2호
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- Pages.29-39
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- 1995
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- 1598-9402(pISSN)
BAYESIAN ESTIMATION PROCEDURES IN MULTIPROCESS DISCOUNT NORMAL MODEL
- Sohn, Joong-Kweon (Department of Statistics, Kyungpook National University) ;
- Kang, Sang-Gil (Department of Statistics, Kyungpook National University) ;
- Kim, Heon-Joo (Department of Statistics, Kyungpook National University)
- 발행 : 1995.12.30
초록
A model used in the past may be altered at will in modeling for the future. For this situation, the multiprocess dynamic model provides a general framework. In this paper we consider the multiprocess discount normal model with parameters having a time dependent non-linear structure. This model has nice properties such as insensitivity to outliers and quick reaction to abrupt changes of pattern.