A Bayesian approach to state space multivariate time series modeling

DOI10.1016/0304-4076(92)90015-JzbMath0747.62095MaRDI QIDQ1193512

Jeffrey H. Dorfman, Arthur Havenner

Publication date: 27 September 1992

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

multivariate time series; model specification; time series modeling; linear systems theory; model selection procedures; construction of optimal composite forecasts; state space modelling

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F15: Bayesian inference

91B84: Economic time series analysis

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