双参数动态Gamma分布模型及贝叶斯预测

Double-parameter dynamic Gamma distribution model and Bayesian forecast

给出了观测值服从双参数Gamma分布,并在自然参数与状态参数之间满足线性关系ωt=Ft′θt的假设下,利用共轭分布给出了相应模型的修正递推及其预测公式。

The dynamic Gamma distribution models for observations following double-parameter Gamma distribution are proposed in this paper.Using conjugate distribution,the corresponding updating recursion of the model parameters are given under the assumption of linear relation between natural parameter and system parameters.Bayesian forecast formula is derived,too.