Posterior mean and variance approximation for regression and time series problems

DOI10.1080/02331880701864978zbMath1274.62624arXiv0802.0213OpenAlexW2167843024MaRDI QIDQ3396471

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Publication date: 18 September 2009

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0213

zbMATH Keywords

time seriesKalman filterstate space modelsregressionBayesian inferenceconditional independenceBayesian forecastingdynamic linear modelsBayes linear methods

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

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Uses Software

• Fahrmeir

Cites Work

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