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In multivariate time series, estimation of the covariance matrix of observation innovations plays an important role in forecasting as it enables computation of standardized forecast error vectors as well as the computation of confidence bounds of forecasts. We develop an online, non‐iterative Bayesian algorithm for estimation and forecasting. It is empirically found that, for a range of simulated time series, the proposed covariance estimator has good performance converging to the true values of the unknown observation covariance matrix. Over a simulated time series, the new method approximates the correct estimates, produced by a non‐sequential Monte Carlo simulation procedure, which is used here as the gold standard. The special, but important, vector autoregressive (VAR) and time‐varying VAR models are illustrated by considering London metal exchange data consisting of spot prices of aluminium, copper, lead and zinc. Copyright © 2007 John Wiley & Sons, Ltd.

Covariance estimation for multivariate conditionally Gaussian dynamic linear models