Reference Priors for Matrix-Variate Dynamic Linear Models

DOI10.1080/03610920701693868zbMath1135.62021OpenAlexW2113810138MaRDI QIDQ3499079

Kostas Triantafyllopoulos

Publication date: 19 May 2008

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

Full work available at URL: https://doi.org/10.1080/03610920701693868

zbMATH Keywords

time seriesKalman filteringstate-space modelsprior distributionprior specification

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

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• REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
• Reference priors with partial information
• Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Temporal disaggregation using multivariate structural time series models

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