DYNAMIC LINEAR-MODEL DIAGNOSTICS
UNSPECIFIED (1991) DYNAMIC LINEAR-MODEL DIAGNOSTICS. BIOMETRIKA, 78 (4). pp. 797-808. ISSN 0006-3444Full text not available from this repository.
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|
|Number of Pages:||12|
|Page Range:||pp. 797-808|
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