A Bayesian Approach to Short-term Forecasting

A new approach to short-term forecasting is described, based on Bayesian principles. The performance of conventional systems is often upset by the occurrence of changes in trend and slope, or transients. In this approach events of this nature are modelled explicitly, and successive data points are used to calculate the posterior probabilities of such events at each instant of time.The system produces not only single-figure forecasts but distributions of trend and slope values which are relevant to subsequent decisions based on forecasts.