UNSPECIFIED (1993) MULTIREGRESSION DYNAMIC-MODELS. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, 55 (4). pp. 849-870. ISSN 0035-9246

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Abstract

Multiregression dynamic models are defined to preserve certain conditional independence structures over time across a multivariate time series. They are non-Gaussian and yet they can often be updated in closed form. The first two moments of their one-step-ahead forecast distribution can be easily calculated. Furthermore, they can be built to contain all the features of the univariate dynamic linear model and promise more efficient identification of causal structures in a time series than has been possible in the past.

Item Type:	Journal Article
Subjects:	Q Science > QA Mathematics
Journal or Publication Title:	JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL
Publisher:	BLACKWELL PUBL LTD
ISSN:	0035-9246
Date:	1993
Volume:	55
Number:	4
Number of Pages:	22
Page Range:	pp. 849-870
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/21200

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