Exponential Family Dynamic Models
Having explored extensions of normal DLMs to incorporate parameter non-linearities, we now turn to a related area of models with non-normal components. The primary development here concerns data series with non-normal observational distributions. DLMs have been extended and generalised to various non-normal problems, the largest class being that based on the use of exponential family models for observational distributions. This Chapter is devoted to these models, the primary references being Migon (1984), Migon and Harrison (1985), and West and Harrison (1986a), West, Harrison and Migon (1985).
KeywordsExponential Family Advertising Campaign Predictive Density Evolution Error Forecast Density
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