Some limiting results for discount Bayesian dynamic models
نویسنده
چکیده
Limiting results for the posterior precision of the states are provided for discount Bayesian state space models. Time varying design vectors are considered as well as the usual constant design vectors. Limiting observability is defined as a useful measure of the suitability of the model. The rate of convergence is explored and conditions of the existence of the limiting posterior precision are given. The relationship between the limiting precision matrix and the limiting observability is provided. Several extensions of the main method are also given.
منابع مشابه
Dynamic Bayesian Information Measures
This paper introduces measures of information for Bayesian analysis when the support of data distribution is truncated progressively. The focus is on the lifetime distributions where the support is truncated at the current age t>=0. Notions of uncertainty and information are presented and operationalized by Shannon entropy, Kullback-Leibler information, and mutual information. Dynamic updatings...
متن کاملDiscount Weighted Bayesian Model Averaging for Portfolio Decisions in Matrix Variate Dynamic Linear Models Discount-Weighted Bayesian Model Averaging for Portfolio Decisions in Matrix Variate Dynamic Linear Models
In this paper, we assess Bayesian model averaging (BMA) techniques for dynamic linear models (DLMs) with variance matrix discounting. In previous research, the discount factors for the variance matrices and the auto-regressive lag have typically been pre-determined and held constant over time. Using posterior model probabilities, we average DLMs employing different discount rates and lag parame...
متن کاملCost Analysis of Acceptance Sampling Models Using Dynamic Programming and Bayesian Inference Considering Inspection Errors
Acceptance Sampling models have been widely applied in companies for the inspection and testing the raw material as well as the final products. A number of lots of the items are produced in a day in the industries so it may be impossible to inspect/test each item in a lot. The acceptance sampling models only provide the guarantee for the producer and consumer that the items in the lots are acco...
متن کاملOPTIMIZATION OF A PRODUCTION LOT SIZING PROBLEM WITH QUANTITY DISCOUNT
Dynamic lot sizing problem is one of the significant problem in industrial units and it has been considered by many researchers. Considering the quantity discount in purchasing cost is one of the important and practical assumptions in the field of inventory control models and it has been less focused in terms of stochastic version of dynamic lot sizing problem. In this paper, stochastic dyn...
متن کاملMultivariate Stochastic Volatility with Bayesian Dynamic Linear Models
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a multiplicative stochastic evolution, using Wishart and singular multivariate beta distributions. A diagonal matrix of discount factors is employed in order to discount...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2002