MULTIREGRESSION DYNAMIC-MODELS

• 成果类型: Article
• 署名作者: QUEEN, CM; SMITH, JQ
• 署名单位: University of Warwick
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• 发表日期: 1993
• 页码: 849-870
• 关键词: conditional-independence

摘要

Multiregression dynamic models are defined to preserve certain conditional independence structures over time across a multivariate time series. They are non-Gaussian and yet they can often be updated in closed form. The first two moments of their one-step-ahead forecast distribution can be easily calculated. Furthermore, they can be built to contain all the features of the univariate dynamic linear model and promise more efficient identification of causal structures in a time series than has been possible in the past.