Bayes linear variance adjustment for time series

Details Bayes linear variance adjustment for time series Bayes linear variance adjustment for time series

1996-04-02

arxiv.org/abs/bayes-an/9604001v1

Physics

Data Analysis, Statistics and Probability

LaTeX2e, 13 pages including 7 figures. Also available from http://fourier.dur.ac.uk:8000/~dma1djw/pub/djwll.html

Scientific paper

This paper exhibits quadratic products of linear combinations of observables which identify the covariance structure underlying the univariate locally linear time series dynamic linear model. The first- and second-order moments for the joint distribution over these observables are given, allowing Bayes linear learning for the underlying covariance structure for the time series model. An example is given which illustrates the methodology and highlights the practical implications of the theory.

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