Dynamic linear model diagnostics

DOI10.1093/BIOMET/78.4.797MaRDI QIDQ4020619zbMATH OpenOpenAlexFDO

Authors Jeff Harrison, Mike West

Publication date 17 January 1993

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/78.4.797

zbMATH Keywords

dynamic linear modelsfiltering equationsinfluence measuresjackknife calculationsleaving out one observationoutlierspast state parametersretrospective analysissmoothingtime series analysis

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
• OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS
• Dynamic Linear Models with R
• Assessing the predictive influence of cases in a state space process
• Automatic selective intervention in dynamic linear models

Cited in

(8)

• Assessing influence in Gaussian long-memory models
• Detecting shocks: Outliers and breaks in time series
• Searching multiregression dynamic models of resting-state fMRI networks using integer programming
• scientific article; zbMATH DE number 1069582 (Why is no real title available?)
• A conjugate family for ar(1) processes with exponential errors
• Real-time covariance estimation for the local level model
• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• Dynamic modeling of mean-reverting spreads for statistical arbitrage

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