VARIANCE-ESTIMATION FOR MULTIVARIATE DYNAMIC LINEAR-MODELS
UNSPECIFIED. (1992) VARIANCE-ESTIMATION FOR MULTIVARIATE DYNAMIC LINEAR-MODELS. JOURNAL OF FORECASTING, 11 (7). pp. 621-628. ISSN 0277-6693Full text not available from this repository.
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|
|Number of Pages:||8|
|Page Range:||pp. 621-628|
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