A Note on the Canonical Structure of Multivariate Dynamic Linear Models

DOI10.1080/03610920601001741zbMath1315.62050OpenAlexW2029332790MaRDI QIDQ3436002

Kostas Triantafyllopoulos

Publication date: 8 May 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601001741

zbMATH Keywords

observabilitytime seriesJordan formdynamic linear models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Bayesian forecasting and dynamic models.
• Time series: theory and methods.
• Unnamed Item

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