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Bayes Linear Variance Adjustment for Locally Linear DLMs

✍ Scribed by D. J. Wilkinson

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 218 KB
Volume: 16
Category: Article
ISSN: 0277-6693
DOI: 10.1002/(sici)1099-131x(199709)16:5<329::aid-for664>3.0.co;2-6

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✦ Synopsis

This paper exhibits quadratic products of linear combinations of observables which identify the covariance structure underlying the univariate locally linear time series dynamic linear model. The ®rst-and second-order moments for the joint distribution over these observables are given, allowing Bayes linear learning for the underlying covariance structure for the time series model. An example is given which illustrates the methodology and highlights the practical implications of the theory.

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