Automatic detection and identification of shocks in Gaussian state-space models: a Bayesian approach
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Publication:3439735
DOI10.1002/asmb.608zbMath1113.62108MaRDI QIDQ3439735
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
model selection; Bayes factor; Kalman filter; model comparison; monitoring and intervention; linear state-space model
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
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