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UNSPECIFIED (1991) DYNAMIC LINEAR-MODEL DIAGNOSTICS. BIOMETRIKA, 78 (4). pp. 797-808.
Full text not available from this repository, contact author.Abstract
In time series analysis using dynamic linear models, retrospective analysis involves the calculation of filtered, or smoothed, distributions for state parameters in the past. We develop and illustrate novel results that are useful in retrospective assessment of the influence of individual observations on such distributions. In particular, new and computationally simple filtering equations are derived for past state parameters based on leaving out one observation at a time, providing dynamic model based versions of methods currently used in standard, static regression diagnostics.
| Item Type: | Journal Article | ||||
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| Subjects: | Q Science > QH Natural history > QH301 Biology Q Science > QA Mathematics |
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| Journal or Publication Title: | BIOMETRIKA | ||||
| Publisher: | BIOMETRIKA TRUST | ||||
| ISSN: | 0006-3444 | ||||
| Official Date: | December 1991 | ||||
| Dates: |
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| Volume: | 78 | ||||
| Number: | 4 | ||||
| Number of Pages: | 12 | ||||
| Page Range: | pp. 797-808 | ||||
| Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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