Variance estimation for multivariate dyn
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Emanuel Barbosa; Jeff Harrison
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Article
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1992
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John Wiley and Sons
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English
โ 383 KB
๐ 1 views
The problem of estimating unknown observational variances in multivariate dynamic linear models is considered. Conjugate procedures are possible for univariate models and also for special very restrictive common components models but they are not generally applicable. However, for clarity of operati