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The generalized asymmetric dynamic covariance model

✍ Scribed by Peter de Goeij; Wessel Marquering

Book ID
116494725
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
106 KB
Volume
2
Category
Article
ISSN
1544-6123

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## Abstract The linear multiregression dynamic model (LMDM) is a Bayesian dynamic model which preserves any conditional independence and causal structure across a multivariate time series. The conditional independence structure is used to model the multivariate series by separate (conditional) univ