DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
DOI10.1111/j.1467-9892.1994.tb00184.xzbMath0815.62065OpenAlexW1985037657MaRDI QIDQ4299018
Publication date: 29 June 1995
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://epub.wu.ac.at/392/1/document.pdf
Kalman filteringstate space modelsGibbs samplingdynamic linear modelsdata augmentation algorithmstate vectorhyperparameterapproximate Bayesian analysisd- inverse-gamma modelsforward-filtering-backward-sampling algorithm
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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