Missing observation analysis for matrix-variate time series data

Kostas Triantafyllopoulos ()

Statistics & Probability Letters, 2008, vol. 78, issue 16, 2647-2653

Abstract: Bayesian inference is developed for matrix-variate dynamic linear models (MV-DLMs), in order to allow missing observation analysis, of any sub-vector or sub-matrix of the observation time series matrix. We propose modifications of the inverted Wishart and matrix t distributions, replacing the scalar degrees of freedom by a diagonal matrix of degrees of freedom. The MV-DLM is then re-defined and modifications of the updating algorithm for missing observations are suggested.

Date: 2008
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