Automatic selective intervention in dynamic linear models

In this paper we propose an algorithm to carry out the monitoring and retrospective intervention process in Dynamic Linear Models, both selectively and automatically. The algorithm is illustrated by analysing several series taken from the literature, in which the proposed procedure is shown to perform better than the scheme proposed by West & Harrison (1997, Chapter 11).

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Year of publication:	2003
Authors:	Salvador, Manuel ; Gargallo, Pilar
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 30.2003, 10, p. 1161-1184
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005458287