Automatic detection and identification of shocks in Gaussian state-space models: a Bayesian approach

DOI10.1002/ASMB.608zbMATH Open1113.62108OpenAlexW2151729646MaRDI QIDQ3439735FDOQ3439735

Authors: Manuel Salvador, Pilar Gargallo 

Publication date: 29 May 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.608

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zbMATH Keywords

Kalman filtermodel selectionBayes factormodel comparisonmonitoring and interventionlinear state-space model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites Work

• Time series analysis by state space methods
• Bayesian forecasting and dynamic models.

Cited In (1)

• Multivariate stochastic volatility with Bayesian dynamic linear models

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