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Automatic monitoring and intervention in linear gaussian state-space models: A bayesian approach

Author

Listed:
  • Manuel Salvador

    (Department of Statistical Methods, University of Zaragoza)

  • Pilar Gargallo

    (Department of Statistical Methods, University of Zaragoza)

Abstract

An automatic monitoring and intervention algorithm that permits the supervision of very general aspects in an univariate linear gaussian state space model is proposed. The algorithm makes use of a model comparison and selection approach within a Bayesian framework. In addition, this algorithm incorporates the possibility of eliminating earlier interventions when subsequent evidence against them comes to light. Finally, the procedure is illustrated with three empirical examples taken from the literature.

Suggested Citation

  • Manuel Salvador & Pilar Gargallo, 2003. "Automatic monitoring and intervention in linear gaussian state-space models: A bayesian approach," Documentos de Trabajo dt2003-05, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2003-05
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    Cited by:

    1. Patricia Bachiller & Mar�a Jos� Arcas, 2006. "Performance and capital structure of privatized firms in the european union," Documentos de Trabajo dt2006-02, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    2. Manuel Espitia Escuer & Gema Pastor Agust�n, 2003. "The investment activity of Spanish firms with tangible and intangible assets," Documentos de Trabajo dt2003-08, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    3. Agust�n Gil, 2005. "Product differentiation in a mixed duopoly," Documentos de Trabajo dt2005-08, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.

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