Bayesian Inference in Cyclical Component Dynamic Linear Models

DOI10.2307/2291520MaRDI QIDQ3128746zbMATH OpenOpenAlexFDO

Authors Mike West

Publication date 11 August 1997

Full work available at URL https://doi.org/10.2307/2291520

zbMATH Keywords

dynamic linear modelsGibbs samplingiterative stochastic simulation methodsMarkov chain Monte Carlononstationary time seriesstate evolution matrix parameterstime-varying cyclical componentsvariance components

Mathematics Subject Classification ID

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

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(9)

• Structural time series modeling: A Bayesian approach
• Applications of quasi-periodic oscillation models to seasonal small count time series.
• A hierarchical Bayes analysis of data on daily activity cycles
• A Bayesian semiparametric regression model for reliability data using effective age
• Dynamic Bayesian analysis for irregularly and incompletely observed contingency tables
• Monte carlo filter using the genetic algorithm operators
• Trends and cycles in economic time series: a Bayesian approach
• An adaptive resampling scheme for cycle estimation
• A Bayesian nonlinear model with multiple frequencies for business cycle analysis

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