Abstract
In a previous paper (Pastore, 2004), a method for selecting the discount parameter in a gaussian state-space model was introduced. The method is based on a sequential optimization of a Bayes factor and is intended for on-line modelling purposes. In this paper, these results are extended to state-space models where the distribution of the observable variable belongs to the exponential family.
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Pastore, A. (2006). Automatic Discount Selection for Exponential Family State-Space Models. In: Zani, S., Cerioli, A., Riani, M., Vichi, M. (eds) Data Analysis, Classification and the Forward Search. Studies in Classification, Data Analysis, and Knowledge Organization. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-35978-8_15
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DOI: https://doi.org/10.1007/3-540-35978-8_15
Publisher Name: Springer, Berlin, Heidelberg
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