UNSPECIFIED (1992) VARIANCE-ESTIMATION FOR MULTIVARIATE DYNAMIC LINEAR-MODELS. JOURNAL OF FORECASTING, 11 (7). pp. 621-628. ISSN 0277-6693

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Abstract

The problem of estimating unknown observational variances in multivariate dynamic linear models is considered. Conjugate procedures are possible for univariate models and also for special very restrictive common components models but they are not generally applicable. However, for clarity of operation and in order to avoid numerical integration, it is desirable to have conjugacy or approximate conjugacy. Such an approximate procedure is proposed based upon a simple analytic approximation. It is exact for the sub-class of conjugate models and improves on a previous procedure based upon the Robust filter.

Item Type:	Journal Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HD Industries. Land use. Labor
Journal or Publication Title:	JOURNAL OF FORECASTING
Publisher:	JOHN WILEY & SONS LTD
ISSN:	0277-6693
Date:	November 1992
Volume:	11
Number:	7
Number of Pages:	8
Page Range:	pp. 621-628
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/21722

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