UNSPECIFIED (1991) DYNAMIC LINEAR-MODEL DIAGNOSTICS. BIOMETRIKA, 78 (4). pp. 797-808. ISSN 0006-3444

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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
Subjects:	Q Science > QH Natural history > QH301 Biology Q Science > QA Mathematics
Journal or Publication Title:	BIOMETRIKA
Publisher:	BIOMETRIKA TRUST
ISSN:	0006-3444
Date:	December 1991
Volume:	78
Number:	4
Number of Pages:	12
Page Range:	pp. 797-808
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/22298

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