Prediction Rules for Exponential Family State Space Models
本文推导了指数族状态空间模型中共轭状态密度下边际均值的简洁通用表达式，并讨论了该结果对观测密度参数化选择、稳态模型预测密度解释以及指数加权移动平均和无趋势预测的启示。
SUMMARY We state and prove a simple and general expression for the marginal mean in an exponential family state space model with conjugate state density. We then discuss implications of this result on the choice of parameterization of the observation density, on the interpretation of the predictive density for steady models and on exponentially weighted moving average and trend-free forecasting.