Univariate Time Series DLM Theory

  • Mike West
  • Jeff Harrison
Part of the Springer Series in Statistics book series (SSS)

Abstract

The class of univariate Time Series DLMs, denoted TSDLMs, was introduced in Section 4.2 as defined by quadruples of the form
$$ \left\{ {{\bf{F}},{\bf{G}},{V_t},{{\bf{W}}_t}} \right\}, $$
for any V t and W t . When this is understood, we refer to the quadruple simply as
$$ \left\{ {{\bf{F}},{\bf{G}},.,.} \right\}. $$

Keywords

State Vector System Matrix Equivalent Model Canonical Model Jordan Block 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1989

Authors and Affiliations

  • Mike West
    • 1
  • Jeff Harrison
    • 2
  1. 1.Institute of Statistics and Decision SciencesDuke UniversityDurhamUSA
  2. 2.Department of StatisticsUniversity of WarwickCoventryUK

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