REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
Publication
, Journal Article
Pole, A; West, M
Published in: Journal of Time Series Analysis
January 1, 1989
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
Duke Scholars
Published In
Journal of Time Series Analysis
DOI
EISSN
1467-9892
ISSN
0143-9782
Publication Date
January 1, 1989
Volume
10
Issue
2
Start / End Page
131 / 147
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0103 Numerical and Computational Mathematics
Citation
APA
Chicago
ICMJE
MLA
NLM
Pole, A., & West, M. (1989). REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL. Journal of Time Series Analysis, 10(2), 131–147. https://doi.org/10.1111/j.1467-9892.1989.tb00020.x
Pole, A., and M. West. “REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL.” Journal of Time Series Analysis 10, no. 2 (January 1, 1989): 131–47. https://doi.org/10.1111/j.1467-9892.1989.tb00020.x.
Pole A, West M. REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL. Journal of Time Series Analysis. 1989 Jan 1;10(2):131–47.
Pole, A., and M. West. “REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL.” Journal of Time Series Analysis, vol. 10, no. 2, Jan. 1989, pp. 131–47. Scopus, doi:10.1111/j.1467-9892.1989.tb00020.x.
Pole A, West M. REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL. Journal of Time Series Analysis. 1989 Jan 1;10(2):131–147.
Published In
Journal of Time Series Analysis
DOI
EISSN
1467-9892
ISSN
0143-9782
Publication Date
January 1, 1989
Volume
10
Issue
2
Start / End Page
131 / 147
Related Subject Headings
- Econometrics
- 4905 Statistics
- 3802 Econometrics
- 1403 Econometrics
- 0104 Statistics
- 0103 Numerical and Computational Mathematics