Bayesian Model Discrimination and Bayes Factors for Normal Linear State Space Models
It is suggested to discriminate between different state space models for a given time series by means of a Bayesian approach which chooses the model that minimizes the expected loss. Practical implementation of this procedures requires a fully Bayesian analysis for both the state vector and the unkn...
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| Format: | Others |
| Language: | en |
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Department of Statistics and Mathematics, WU Vienna University of Economics and Business
1993
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| Online Access: | http://epub.wu.ac.at/108/1/document.pdf |