Data Augmentation and Dynamic Linear Models
We define a subclass of dynamic linear models with unknown hyperparameters called d-inverse-gamma models. We then approximate the marginal p.d.f.s of the hyperparameter and the state vector by the data augmentation algorithm of Tanner/Wong. We prove that the regularity conditions for convergence hol...
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| Format: | Others |
| Language: | en |
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Department of Statistics and Mathematics, WU Vienna University of Economics and Business
1992
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| Online Access: | http://epub.wu.ac.at/392/1/document.pdf |