IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT

Corrado Corradi () and Claudia Scarani

Journal of Time Series Analysis, 1987, vol. 8, issue 2, 131-133

Abstract: Abstract. This note describes an improvement of Ishiguro's algorithm for the Bayesian decomposition of a time series based on the use of a specialized band Cholesky factorization.

Date: 1987
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