Joint Monitoring of Several Types of Shocks in Dynamic Linear Models: A Bayesian Decision Approach
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چکیده
Joint Monitoring of Several Types of Shocks in Dynamic Linear Models: A Bayesian Decision Approach Abstract In this paper we consider the sequential monitoring process in Dynamic Linear Models as a Bayesian sequential decision problem. By using this approach we build a general procedure that jointly analyses the existence of outliers, level changes, variance changes and development of local correlations. In addition, we study the frequentist behaviour of this procedure and we compare it with the monitoring algorithm as proposed by West and Harrison (1997), Chapter 11.
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تاریخ انتشار 2002