Disaggregation and Forecasting: A Bayesian Analysis
用贝叶斯方法解决时间序列的时域分解问题，通过后验分布得到分解值，并给出预测区间和未来分解值的预测。
The problem of temporal disaggregation of time series is analyzed by means of Bayesian methods. The disaggregated values are obtained through a posterior distribution derived by using a diffuse prior on the parameters. Further analysis is carried out assuming alternative conjugate priors. The means of the different posterior distributions are shown to be equivalent to some sampling theory results. Bayesian prediction intervals are obtained. Forecasts for future disaggregated values are derived assuming a conjugate prior for the future aggregated value.