Posterior mean and variance approximation for regression and time series problems

DOI10.1080/02331880701864978zbMath1274.62624arXiv0802.0213MaRDI 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 series; Kalman filter; state space models; regression; Bayesian inference; conditional independence; Bayesian forecasting; dynamic linear models; Bayes linear methods

Mathematics Subject Classification ID

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

62J05: Linear regression; mixed models

62F15: Bayesian inference

Related Items

Real-time covariance estimation for the local level model

Uses Software

• Fahrmeir

Cites Work

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