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Automatic monitoring and intervention in multivariate dynamic linear models

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  • Salvador, Manuel
  • Gargallo, Pilar

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  • Salvador, Manuel & Gargallo, Pilar, 2004. "Automatic monitoring and intervention in multivariate dynamic linear models," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 401-431, October.
    • Handle: RePEc:eee:csdana:v:47:y:2004:i:3:p:401-431
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    References listed on IDEAS

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    1. P. J. Harrison, 1999. "Statistical process control and model monitoring," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(2), pages 273-292.
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    Cited by:

    1. Triantafyllopoulos, K., 2008. "Missing observation analysis for matrix-variate time series data," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2647-2653, November.
    2. Thiago R. Santos & Glaura C. Franco & Dani Gamerman, 2010. "Comparison of Classical and Bayesian Approaches for Intervention Analysis," International Statistical Review, International Statistical Institute, vol. 78(2), pages 218-239, August.
    3. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility using state space models," Papers 0802.0223, arXiv.org.
    4. K. Triantafyllopoulos, 2008. "Multivariate stochastic volatility with Bayesian dynamic linear models," Papers 0802.0214, arXiv.org.
    5. K. Triantafyllopoulos, 2007. "Covariance estimation for multivariate conditionally Gaussian dynamic linear models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(8), pages 551-569.
    6. Triantafyllopoulos, K. & Nason, G.P., 2007. "A Bayesian analysis of moving average processes with time-varying parameters," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 1025-1046, October.
    7. Triantafyllopoulos, Kostas, 2006. "Multivariate discount weighted regression and local level models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3702-3720, August.

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