Dynamic Bayesian models for vector time series analysis & forecasting
Barbosa, Emanuel Pimentel (1989) Dynamic Bayesian models for vector time series analysis & forecasting. PhD thesis, University of Warwick.
WRAP_THESIS_Barbosa_1989.pdf - Submitted Version - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Official URL: http://webcat.warwick.ac.uk/record=b1456673~S1
This thesis considers the Bayesian analysis of general multivariate DLM's (Dynamic Linear
Models) for vector time series forecasting where the observational variance matrices are
unknown. This extends considerably some previous work based on conjugate analysis for
a special sub—class of vector DLM's where all marginal univariate models follow the same
The new methods developed in this thesis, are shown to have a better performance than
other competing approaches to vector DLM analysis, as for instance, the one based on the
Student t filter.
Practical aspects of implementation of the new methods, as well as some theoretical properties
are discussed, further model extensions are considered, including non—linear models
and some applications with real and simulated data are provided.
|Item Type:||Thesis or Dissertation (PhD)|
|Subjects:||Q Science > QA Mathematics|
|Library of Congress Subject Headings (LCSH):||Bayesian statistical decision theory, Multivariate analysis, Linear models (Statistics), Time-series analysis|
|Official Date:||November 1989|
|Institution:||University of Warwick|
|Theses Department:||Department of Statistics|
|Sponsors:||Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP) ; Universidade Federal de São Carlos|
|Extent:||v, 184 leaves|
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