Automatic selective intervention in dynamic linear models

Manuel Salvador and Pilar Gargallo

Journal of Applied Statistics, 2003, vol. 30, issue 10, 1161-1184

Abstract: In this paper we propose an algorithm to carry out the monitoring and retrospective intervention process in Dynamic Linear Models, both selectively and automatically. The algorithm is illustrated by analysing several series taken from the literature, in which the proposed procedure is shown to perform better than the scheme proposed by West & Harrison (1997, Chapter 11).

Date: 2003
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DOI: 10.1080/0266476032000107178

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