Bayesian Inference in Cyclical Component Dynamic Linear Models

DOI10.2307/2291520zbMath0868.62030OpenAlexW4248551350MaRDI QIDQ3128746

Mike West

Publication date: 11 August 1997

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

zbMATH Keywords

Markov chain Monte Carlovariance componentsGibbs samplingdynamic linear modelsnonstationary time seriestime-varying cyclical componentsiterative stochastic simulation methodsstate evolution matrix parameters

Mathematics Subject Classification ID

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

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A Bayesian semiparametric regression model for reliability data using effective age ⋮ Monte carlo filter using the genetic algorithm operators ⋮ An adaptive resampling scheme for cycle estimation ⋮ Dynamic Bayesian analysis for irregularly and incompletely observed contingency tables ⋮ Applications of quasi-periodic oscillation models to seasonal small count time series.

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