Missing observation analysis for matrix-variate time series data

DOI10.1016/J.SPL.2008.03.033zbMATH Open1147.62370arXiv0805.3831OpenAlexW2125804932MaRDI QIDQ952850FDOQ952850

Authors: Kostas Triantafyllopoulos 

Publication date: 14 November 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Abstract: Bayesian inference is developed for matrix-variate dynamic linear models (MV-DLMs), in order to allow missing observation analysis, of any sub-vector or sub-matrix of the observation time series matrix. We propose modifications of the inverted Wishart and matrix $t$ distributions, replacing the scalar degrees of freedom by a diagonal matrix of degrees of freedom. The MV-DLM is then re-defined and modifications of the updating algorithm for missing observations are suggested.

Full work available at URL: https://arxiv.org/abs/0805.3831

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Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (9)

• Title not available (Why is that?)
• Bayesian inference in a matrix normal dynamic linear model with unknown covariance matrices
• Dynamic non-parametric monitoring of air-pollution
• The second-order moments of the sample covariances for time series with missing observations
• Missing observations in observation-driven time series models
• Sequential selection with unknown correlation structures
• Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
• Missing Data Methods: Time-Series Methods and Applications
• Missing data and forecasting in multivariate time series: An application of the common components dynamic linear model

Uses Software

• astsa

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