Missing observation analysis for matrix-variate time series data

DOI10.1016/J.SPL.2008.03.033MaRDI QIDQ952850zbMATH OpenOpenAlexFDO

Authors Kostas Triantafyllopoulos

Publication date 14 November 2008

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

Full work available at URL https://arxiv.org/abs/0805.3831, http://eprints.whiterose.ac.uk/10625/1/Maths_10625.pdf

Mathematics Subject Classification ID

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

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.

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Cited in

(9)

• Bayesian inference in a matrix normal dynamic linear model with unknown covariance matrices
• 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
• Missing observations in observation-driven time series models
• The second-order moments of the sample covariances for time series with missing observations
• Sequential selection with unknown correlation structures
• scientific article; zbMATH DE number 4005393 (Why is no real title available?)
• Missing data in time series: a note on the equivalence of the dummy variable and the skipping approaches
• Dynamic non-parametric monitoring of air-pollution

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