The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
Abstract
Abstract.We define a subclass of dynamic linear models with unknown hyperpara‐meter called d‐inverse‐gamma models. We then approximate the marginal probability density functions of the hyperparameter and the state vector by the data augmentation algorithm of Tanner and Wong. We prove that the regularity conditions for convergence hold. For practical implementation a forward‐filtering‐backward‐sampling algorithm is suggested, and the relation to Gibbs sampling is discussed in detail.
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Cites
Maximum Likelihood from Incomplete Data Via the EM Algorithm
Dempster, A. P., Laird, N. M., & Rubin, D. B. (1977) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1977.tb01600.x · Cited by 50,444
Forecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
Cited by
An empirical survey of data augmentation for time series classification with neural networks
Iwana, B. K., & Uchida, S. (2021) · PLOS ONE · doi:10.1371/journal.pone.0254841 · Cited by 725
Statistical algorithms for models in state space using SsfPack 2.2
Koopman, S. J., Shephard, N., & Doornik, J. A. (1999) · The Econometrics Journal · doi:10.1111/1368-423x.00023 · Cited by 466
Fast Sampling of Gaussian Markov Random Fields
Rue, H. (2001) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/1467-9868.00288 · Cited by 363
Kastner, G., & Frühwirth-Schnatter, S. (2014) · Computational Statistics & Data Analysis · doi:10.1016/j.csda.2013.01.002 · Cited by 287
Self-citationA State-Space Model for National Football League Scores
Glickman, M. E., & Stern, H. S. (1998) · Journal of the American Statistical Association · doi:10.1080/01621459.1998.10474084 · Cited by 121
Metadata
- Authors
- Frühwirth‐Schnatter, S.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1994-03
- Volume
- 15
- Issue
- 2
- Pages
- 183-202
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W1985037657
- Cited by
- 808
- References
- 2
- FWCI
- 7.48
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
