Automatic monitoring and intervention in multivariate dynamic linear models

DOI10.1016/J.CSDA.2003.11.024zbMath1429.62413OpenAlexW1970078478MaRDI QIDQ957022

Manuel Salvador, Pilar Gargallo

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.024

zbMATH Keywords

model selectionBayes factormodel comparisonmatrix normal dynamic linear modelsmonitoring and intervention

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (9)

Reference Priors for Matrix-Variate Dynamic Linear Models ⋮ Missing observation analysis for matrix-variate time series data ⋮ Multivariate stochastic volatility with Bayesian dynamic linear models ⋮ Automatic monitoring and intervention in multivariate dynamic linear models ⋮ Multivariate discount weighted regression and local level models ⋮ Monitoring Residual Autocorrelations in Dynamic Linear Models ⋮ Comparison of classical and Bayesian approaches for intervention analysis ⋮ A Bayesian analysis of moving average processes with time-varying parameters ⋮ Posterior mean and variance approximation for regression and time series problems

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• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Bayes Factors
• Statistical process control and model monitoring

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