Forecast covariances in the linear multiregression dynamic model

Journal of Forecasting

Volumn 27, Issue 2, 2008, Pages 175-191

  Queen, Catriona M ^a   Wright, Ben J ^a,b   Albers, Casper J ^a  

^a OPEN UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF LEICESTER   (United Kingdom)

Author keywords

Component covariances; Conditional independence; Dynamic linear model; Forecast covariance matrix; Multivariate time series

Indexed keywords

LINEAR ALGEBRA; MATHEMATICAL MODELS; REGRESSION ANALYSIS; TIME SERIES ANALYSIS;

COMPONENT COVARIANCES; CONDITIONAL INDEPENDENCE; DYNAMIC LINEAR MODEL; FORECAST COVARIANCE MATRIX; MULTIVARIATE TIME SERIES;

COVARIANCE MATRIX;

EID: 41449099887     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1050     Document Type: Article

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