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UNSPECIFIED (1993) MULTIREGRESSION DYNAMIC-MODELS. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL, 55 (4). pp. 849-870. ISSN 0035-9246.
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Abstract
Multiregression dynamic models are defined to preserve certain conditional independence structures over time across a multivariate time series. They are non-Gaussian and yet they can often be updated in closed form. The first two moments of their one-step-ahead forecast distribution can be easily calculated. Furthermore, they can be built to contain all the features of the univariate dynamic linear model and promise more efficient identification of causal structures in a time series than has been possible in the past.
Item Type: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Journal or Publication Title: | JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-METHODOLOGICAL | ||||
Publisher: | BLACKWELL PUBL LTD | ||||
ISSN: | 0035-9246 | ||||
Official Date: | 1993 | ||||
Dates: |
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Volume: | 55 | ||||
Number: | 4 | ||||
Number of Pages: | 22 | ||||
Page Range: | pp. 849-870 | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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