Real-time covariance estimation for the local level model

Triantafyllopoulos, K. . Journal of Time Series Analysis 2011. 32 (2) :93-107

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Bibtex

@article{CIS-254068,
  Author = {Triantafyllopoulos, K.},
  Title = {Real-time covariance estimation for the local level model},
  Journal = {Journal of Time Series Analysis},
  Volume = {32},
  Number = {2},
  Year = {2011},
  Pages = {93--107},
  Keywords = {Adaptive estimation, Multivariate time series, multivariate control charts, Dynamic linear models}
}

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