REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
Journal Article (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