Regression, Transfer Function and Noise Models

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


Polynomial and seasonal models provide two basic and very widely used classes of DLMs, both, of course, TSDLMs. A third important class is that based on regression relationships; the three classes combined via the principle of superposition provide for the vast majority of forms of behaviour encountered in practice for which linear models can provide adequate descriptions. Here we describe the theory and analysis of regression DLMs and important related models.


Transfer Function State Vector Posterior Distribution Noise Model Noise Process 
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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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