Quintana, José Mario, 1950- (1987) Multivariate Bayesian forecasting models. PhD thesis, University of Warwick.

Preview

PDF WRAP_THESIS_Quintana_1987.pdf - Submitted Version - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader Download (5Mb)

Abstract

This thesis concerns theoretical and practical Bayesian modelling of multivariate time series. Our main goal is to intruduce useful, flexible and tractable multivariate forecasting models and provide the necessary theory for their practical implementation. After a brief review of the dynamic linear model we formulate a new matrix-v-ariate generalization in which a significant part of the variance-covariance structure is unknown. And a new general algorithm, based on the sweep operator is provided for its recursive implementation. This enables important advances to be made in long-standing problems related with the specification of the variances. We address the problem of plug-in estimation and apply our results in the context of dynamic linear models. We extend our matrix-variate model by considering the unknown part of the variance-covariance structure to be dynamic. Furthermore, we formulate the dynamic recursive model which is a general counterpart of fully recursive econometric models. The latter part of the dissertation is devoted to modelling aspects. The usefulness of the methods proposed is illustrated with several examples involving real and simulated data.

Item Type:	Thesis or Dissertation (PhD)
Subjects:	Q Science > QA Mathematics
Library of Congress Subject Headings (LCSH):	Bayesian statistical decision theory, Multivariate analysis, Time-series analysis
Date:	March 1987
Institution:	University of Warwick
Theses Department:	Department of Statistics
Thesis Type:	PhD
Publication Status:	Unpublished
Supervisor(s)/Advisor:	West, Mike, 1959-
Sponsors:	Consejo Nacional de Ciencia y Tecnología (Mexico) (CONACYT)
Extent:	[6], 120 leaves
Language:	eng
URI:	http://wrap.warwick.ac.uk/id/eprint/34805

Request changes to a record

Actions (login required)

View Item