Monitoring Residual Autocorrelations in Dynamic Linear Models

DOI10.1081/SAC-120023879MaRDI QIDQ4431291zbMATHFDO

Authors Pilar Gargallo, Manuel Salvador

Publication date 19 October 2003

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bayesian monitoring of local residual autocorrelations taking into account the run-length
• Automatic selective intervention in dynamic linear models
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Cites work

• scientific article; zbMATH DE number 847277 (Why is no real title available?)
• Automatic monitoring and intervention in multivariate dynamic linear models
• Bayesian forecasting and dynamic models.
• Monitoring and Adaptation in Bayesian Forecasting Models
• Statistical process control and model monitoring

Cited in

(7)

• Automatic monitoring and intervention in multivariate dynamic linear models
• scientific article; zbMATH DE number 5233199 (Why is no real title available?)
• Bayesian monitoring of local residual autocorrelations taking into account the run-length
• scientific article; zbMATH DE number 2200844 (Why is no real title available?)
• Automatic selective intervention in dynamic linear models
• Monitoring changes in exponential family models: a two-sided Bayesian decision approach
• On the Monitoring of Autocorrelated Linear Profiles

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