Automatic monitoring and intervention in multivariate dynamic linear models

DOI10.1016/J.CSDA.2003.11.024zbMATH Open1429.62413OpenAlexW1970078478MaRDI QIDQ957022FDOQ957022

Authors: Manuel Salvador, Pilar Gargallo 

Publication date: 26 November 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2003.11.024

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zbMATH Keywords

model selectionBayes factormodel comparisonmatrix normal dynamic linear modelsmonitoring and intervention

Mathematics Subject Classification ID

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

Cites Work

• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Bayes Factors
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• Bayesian forecasting and dynamic models.
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• Diagnosing Shocks in Time Series
• Statistical process control and model monitoring
• Automatic monitoring and intervention in multivariate dynamic linear models

Cited In (13)

• Missing observation analysis for matrix-variate time series data
• Automatic monitoring and intervention in multivariate dynamic linear models
• Monitoring pregnancy
• Comparison of classical and Bayesian approaches for intervention analysis
• Posterior mean and variance approximation for regression and time series problems
• Multivariate discount weighted regression and local level models
• Reference Priors for Matrix-Variate Dynamic Linear Models
• A Bayesian analysis of moving average processes with time-varying parameters
• Automatic selective intervention in dynamic linear models
• Title not available (Why is that?)
• Monitoring Residual Autocorrelations in Dynamic Linear Models
• Title not available (Why is that?)
• Multivariate stochastic volatility with Bayesian dynamic linear models

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