Multiregression dynamic models
Multiregression dynamic models
复制标题
多元回归动态模型
DOI：
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发表时间：
1993
期刊：
影响因子：
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通讯作者：
Jim Q. Smith
中科院分区：
文献类型：
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作者：
C. Queen;Jim Q. Smith
多元回归动态模型被定义为在多变量序列中保持一定的条件独立结构。它们是非高斯的，但它们通常可以以封闭的形式更新。其一步预测分布的前两个矩可以很容易地计算。此外，它们可以被构建为包含单变量动态线性模型的所有特征，并且承诺比过去可能更有效地识别时间序列中的因果结构
Multiregression dynamic models are defined to preserve certain conditional independence structures over time across a multivariate the series. They are non-Gaussian and yet they can often be updated in closed form. The first two moments of their one-step-ahead forecast distribution can tie easily calculated. Furthermore, they can be built to contain all the features of the univariate dynamic linear model and promise more efficient identification of causal structures in a time series than has been possible in the past