Reference Priors for Matrix-Variate Dynamic Linear Models

DOI10.1080/03610920701693868MaRDI QIDQ3499079zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos

Publication date 19 May 2008

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701693868

zbMATH Keywords

time seriesKalman filteringprior specificationstate-space modelsprior distribution

Mathematics Subject Classification ID

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

Recommendations

• REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
• Reference priors for linear models with general covariance structures
• Dynamic hierarchical models: an extension to matrix-variate observations.
• Bayesian inference in a matrix normal dynamic linear model with unknown covariance matrices
• Dynamic matrix-variate graphical models

Cites work

• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 3189754 (Why is no real title available?)
• Analysis and Generalisation of a Multivariate Exponential Smoothing Model
• Automatic monitoring and intervention in multivariate dynamic linear models
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Bayesian forecasting and dynamic models.
• Estimation of a covariance matrix using the reference prior
• Forecasting Applications of an Adaptive Multiple Exponential Smoothing Model
• Multivariate discount weighted regression and local level models
• REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
• Reference priors with partial information
• Statistical decision theory and Bayesian analysis. 2nd ed
• Temporal disaggregation using multivariate structural time series models
• Time series analysis by state space methods

Cited in

(3)

• Missing observation analysis for matrix-variate time series data
• REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
• Reference priors for linear models with general covariance structures

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