Sankhya: The Indian Journal of Statistics

2001, Volume 63, Series B, Pt. 1, pp. 69--88

BINOMIAL TIME SERIES ANALYSIS BY A MULTIPLICATIVE DLM

By

MASSOUD NAKHKOOB, Civil Aviation Organization of Iran

SUMMARY. In the present paper, a multiplicative dynamic model is fitted to data distributed according to binomial probability model. Matrix representation is used to simplify fitting the model to observations from a multinomial distribution. Several actual and simulated examples of binomial and multinomial time series are used to illustrate this method and to evaluate its predictive performance especially in comparison with the most used models.

AMS (1991) subject classification.

Key words and phrases. Binomial and multinomial distributions, dynamic linear models, Bayesian forecasting. .

Full paper (PDF)