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| Author: | Pole, A. West, M. |
| Title: | Efficient Bayesian learning in non-linear dynamic models. |
| Journal: | Journal of Forecasting
1990 : MAR-APR, VOL. 9:2, p. 119-136 |
| Index terms: | DYNAMIC MODELS BAYESIAN STATISTICS NUMERICAL ANALYSIS |
| Language: | eng |
| Abstract: | The practical application of recently developed techniques of efficient numerical analysis of dynamic models is demonstrated. The models presented share a common basic structural foundation but nevertheless cover a very large field of possible applications. The history of Bayesian analysis of non-standard dynamic models is briefly reviewed. A few alternative approaches of numerical approximation are considered. The class of conditionally conjugate model is defined. A practical illustration is given using the numerical algorithm of Pole and West (1988). The calculations for all the examples were computed on an IBM AT compatible machine with 640 Kb of memory. |
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