Automatic monitoring and intervention in multivariate dynamic linear models
An automatic monitoring and intervention algorithm that permits the supervision of very general aspects in a matrix normal dynamic linear model is proposed. The algorithm makes use of a model comparison and selection approach within a Bayesian framework. The procedure is illustrated with two empirical examples taken from the literature. (C) 2003 Elsevier B.V. All rights reserved.
monitoring and intervention matrix normal dynamic linear models model comparison bayes factor model selection