Corberán-Vallet, Ana; Bermúdez, José D.; Vercher, … - In: International Journal of Forecasting 27 (2011) 2, pp. 252-265
This paper presents the Bayesian analysis of a general multivariate exponential smoothing model that allows us to forecast time series jointly, subject to correlated random disturbances. The general multivariate model, which can be formulated as a seemingly unrelated regression model, includes...