Online Prediction Under Model Uncertainty via Dynamic Model Averaging: Application to a Cold Rolling Mill
نویسندگان
چکیده
منابع مشابه
Online Prediction Under Model Uncertainty via Dynamic Model Averaging: Application to a Cold Rolling Mill
We consider the problem of online prediction when it is uncertain what the best prediction model to use is. We develop a method called Dynamic Model Averaging (DMA) in which a state space model for the parameters of each model is combined with a Markov chain model for the correct model. This allows the "correct" model to vary over time. The state space and Markov chain models are both specified...
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ژورنال
عنوان ژورنال: Technometrics
سال: 2010
ISSN: 0040-1706,1537-2723
DOI: 10.1198/tech.2009.08104