REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL

Published

Journal Article

Abstract. We consider the analysis of normal dynamic linear models subject to reference (vague or uninformative) initial priors on the state parameters and observational variance. New sequential updating equations and the related smoothing or filtering recurrences are derived for such reference analyses. The case of no evolution noise is highlighted, as this is of key practical importance and interest. Practical questions concerning prediction and collinearity are discussed, as are particular features of special models. Copyright © 1989, Wiley Blackwell. All rights reserved

Full Text

Duke Authors

Cited Authors

  • Pole, A; West, M

Published Date

  • January 1, 1989

Published In

Volume / Issue

  • 10 / 2

Start / End Page

  • 131 - 147

Electronic International Standard Serial Number (EISSN)

  • 1467-9892

International Standard Serial Number (ISSN)

  • 0143-9782

Digital Object Identifier (DOI)

  • 10.1111/j.1467-9892.1989.tb00020.x

Citation Source

  • Scopus