Covariance estimation for multivariate conditionally Gaussian dynamic linear models
نویسندگان
چکیده
منابع مشابه
Covariance Estimation for Multivariate Conditionally Gaussian Dynamic Linear Models
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the computation of confidence bounds of the forecasts. We develop an on-line, non-iterative Bayesian algorithm for estimation and forecasting. It is empirically fo...
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2007
ISSN: 0277-6693,1099-131X
DOI: 10.1002/for.1039