Automatic monitoring and intervention in linear gaussian state-space models: A bayesian approach
Manuel Salvador () and
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Manuel Salvador: Department of Statistical Methods, University of Zaragoza
Pilar Gargallo: Department of Statistical Methods, University of Zaragoza
Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza
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.
Keywords: Bayes Factor; Monitoring and Intervention; Model Comparison; Model Selection; Linear State-Space Models; Kalman Filter (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:zar:wpaper:dt2003-05
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