Stochastic differential equations (3rd ed.): an introduction with applications
Stochastic differential equations (3rd ed.): an introduction with applications
Bayesian forecasting and dynamic models (2nd ed.)
Bayesian forecasting and dynamic models (2nd ed.)
Bayesian Learning for Neural Networks
Bayesian Learning for Neural Networks
Statistical Digital Signal Processing and Modeling
Statistical Digital Signal Processing and Modeling
Estimation with Applications to Tracking and Navigation
Estimation with Applications to Tracking and Navigation
Multivariate Student-t self-organizing maps
Neural Networks
A novel approach for distributed application scheduling based on prediction of communication events
Future Generation Computer Systems
Data stream forecasting for system fault prediction
Computers and Industrial Engineering
DSGE Model Estimation on the Basis of Second-Order Approximation
Computational Economics
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This article presents the winning solution to the CATS time series prediction competition. The solution is based on classical optimal linear estimation theory. The proposed method models the long and short term dynamics of the time series as stochastic linear models. The computation is based on a Kalman smoother, in which the noise densities are estimated by cross-validation. In time series prediction the Kalman smoother is applied three times in different stages of the method.