Posterior mean and variance approximation for regression and time series problems
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Publication:3396471
DOI10.1080/02331880701864978zbMath1274.62624arXiv0802.0213MaRDI QIDQ3396471
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Publication date: 18 September 2009
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0802.0213
time series; Kalman filter; state space models; regression; Bayesian inference; conditional independence; Bayesian forecasting; dynamic linear models; Bayes linear methods
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
62F15: Bayesian inference
Uses Software
Cites Work
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