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REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
Author(s) -
Pole Andy,
West Mike
Publication year - 1989
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1989.tb00020.x
Subject(s) - mathematics , smoothing , prior probability , linear model , variance (accounting) , collinearity , noise (video) , econometrics , algorithm , statistics , computer science , artificial intelligence , bayesian probability , accounting , business , image (mathematics)
. 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.