A Bayesian approach to state space multivariate time series modeling

DOI10.1016/0304-4076(92)90015-JzbMath0747.62095MaRDI QIDQ1193512

Jeffrey H. Dorfman, Arthur Havenner

Publication date: 27 September 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

multivariate time seriesmodel specificationtime series modelinglinear systems theorymodel selection proceduresconstruction of optimal composite forecastsstate space modelling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (4)

A numerical Bayesian test for cointegration of AR processes ⋮ Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling ⋮ Model specification tests for balanced representation state space models ⋮ A simulation study on vector arma processes with nonstationary innovation:a new approach to identification

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