A Note on the Canonical Structure of Multivariate Dynamic Linear Models

DOI10.1080/03610920601001741MaRDI QIDQ3436002zbMATH OpenOpenAlexFDO

Authors 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

dynamic linear modelsJordan formobservabilitytime series

Mathematics Subject Classification ID

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

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Cites work

• Bayesian forecasting and dynamic models.
• Time series analysis by state space methods
• Time series: theory and methods.

Cited in

(1)

• A Matrix-Variate Regression Model with Canonical States: An Application to Elderly Danish Twins

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