Automatic monitoring and intervention in multivariate dynamic linear models

DOI10.1016/J.CSDA.2003.11.024MaRDI QIDQ957022zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

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• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Automatic monitoring and intervention in multivariate dynamic linear models
• Bayes Factors
• Bayesian forecasting and dynamic models.
• Diagnosing Shocks in Time Series
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Statistical process control and model monitoring

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• Multivariate stochastic volatility with Bayesian dynamic linear models
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