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Dynamic linear models

  • Petris G
  • Petrone S
  • Campagnoli P
Springer New York, (2009), 31-84
DOI: 10.1007/b135794_2
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Abstract

In this chapter we discuss the basic notions about state space models and their use in time series analysis. The dynamic linear model is presented as a special case of a general state space model, being linear and Gaussian. For dynamic linear models, estimation and...

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Petris, G., Petrone, S., & Campagnoli, P. (2009). Dynamic linear models. In Dynamic Linear Models with R (pp. 31–84). Springer New York. https://doi.org/10.1007/b135794_2

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