Real-time covariance estimation for the local level model
From MaRDI portal
Publication:4979095
DOI10.1111/j.1467-9892.2010.00686.xzbMath1290.62090arXiv1311.0634MaRDI QIDQ4979095
Publication date: 16 June 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.0634
adaptive estimation; multivariate time series; dynamic linear models; covariance estimation; multivariate control charts
62H10: Multivariate distribution of statistics
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Analysis of high dimensional multivariate stochastic volatility models
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- Bayesian forecasting and dynamic models.
- Bayesian portfolio selection with multi-variate random variance models
- Solving the generalized Sylvester matrix equation \(AV+BW=EVF\) via a Kronecker map
- State-space recursive least-squares with adaptive memory
- Hyper Markov laws in the statistical analysis of decomposable graphical models
- Local scale models. State space alternative to integraded GARCH processes
- On singular Wishart and singular multivariate beta distributions
- Proof of the conjectures of H. Uhlig on the singular multivariate beta and the Jacobian of a certain matrix transformation
- Singular Wishart and multivariate beta distributions
- Sequential Monte Carlo Methods in Practice
- Convergence properties of the Riccati difference equation in optimal filtering of nonstabilizable systems
- Posterior mean and variance approximation for regression and time series problems
- Applying State Space to SPC: Monitoring Multivariate Time Series
- Analysis and Generalisation of a Multivariate Exponential Smoothing Model
- ON-LINE VARIANCE ESTIMATION FOR THE STEADY STATE BAYESIAN FORECASTING MODEL
- Dynamic linear model diagnostics
- On Gibbs sampling for state space models
- Bayesian Vector Autoregressions with Stochastic Volatility
- Hyper Inverse Wishart Distribution for Non-decomposable Graphs and its Application to Bayesian Inference for Gaussian Graphical Models
- All Invariant Moments of the Wishart Distribution
- Disturbance smoother for state space models
- Multivariate Beta Distributions and Independence Properties of the Wishart Distribution
- Multivariate Stochastic Volatility: An Overview
- Factor Multivariate Stochastic Volatility via Wishart Processes
- An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
- Multivariate statistical modelling based on generalized linear models.
- Dynamic matrix-variate graphical models
