Title of article
Bound and convergence of the non-constant dynamic linear model
Author/Authors
Liao، نويسنده , , Wenhui and Liu، نويسنده , , Yan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
8
From page
602
To page
609
Abstract
This paper extends the limiting results of West and Harrison (1997, section 5.5) about the convergence of the variances of time series dynamic linear models (TSDLMs) when both, the variances of the observation and evolution errors of the model, are time-varying with steady limits. Analytical results are derived and an illustrative example is provided.
Keywords
Time series dynamic linear model (TSDLM) , Bayesian dynamic model , Posterior variance , Non-constant dynamic linear model , Bayesian statistics
Journal title
Journal of Statistical Planning and Inference
Serial Year
2011
Journal title
Journal of Statistical Planning and Inference
Record number
2221142
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