Parametric Estimation of BDLM Based on Generalized Exponentially Weighed Regression

摘要：

The main purpose of this paper is to study the application of generalized exponentially weighted regression (G.W.E.R.) in Bayesian Dynamic Linear Model (BDLM). It provides a method to estimate the error variance matrix W_t.

关键词： bayesian dynamic linear model generalized exponentially weighted regression estimate the error variance matrix

作者: FU Yuanzhai

作者单位: Shandong University of Science and Technology, P.R.China, 266105

会议类型: 国际会议

会议名称: The 3rd International Institute of Statistics & Management Engineering Symposium(2010 国际统计与管理工程研讨会 IISMES)

会议地点: 威海

会议语种:英文

页码: 579-582

在线出版日期: 2010-07-24（万方平台首次上网日期，不代表论文的发表时间）