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Bayesian parsimonious covariance estimation for hierarchical linear mixed models

✍ Scribed by Sylvia Frühwirth-Schnatter; Regina Tüchler


Publisher
Springer US
Year
2007
Tongue
English
Weight
460 KB
Volume
18
Category
Article
ISSN
0960-3174

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✍ K. Triantafyllopoulos 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 245 KB 👁 1 views

## Abstract 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‐ite