Bound and convergence of the non-constant dynamic linear model

DOI10.1016/j.jspi.2010.07.012zbMath1207.62063OpenAlexW2084391408MaRDI QIDQ710829

Yan Liu, Wenhui Liao

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.07.012

zbMATH Keywords

Bayesian statisticsposterior varianceBayesian dynamic modelnon-constant dynamic linear modeltime series dynamic linear model (TSDLM)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Cites Work

• Bayesian forecasting and dynamic models.
• Multivariate discount weighted regression and local level models
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Bayesian inference in a matrix normal dynamic linear model with unknown covariance matrices
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