A NOTE ON THE COMPUTATION OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES

Corrado Corradi (corrado.corradi@unibo.it) and C. Scarani

Journal of Time Series Analysis, 1984, vol. 5, issue 4, 205-212

Abstract: Abstract. The purpose of the present note is to propose an efficient algorithm for the Bayesian decomposition of a time series, utilizing some results recently developed in the area of methods of regularization of certain integral equations. Within this framework, it is shown how the special structure of the problem can be exploited so that a considerable gain in computational efficiency over existing procedures can be obtained.

Date: 1984
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