Develop software to implement the forward ltering/sequential updat ing analysis, and the retrospective smoothing computations, for the

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Develop software to implement the forward ltering/sequential updat ing analysis, and the retrospective smoothing computations, for the ex changeable time series DLM with time-varying observational covariance matrix under the matrix beta evolution model. Explore the exchange rate time series data in your code development, aiming to reproduce aspects of the example detailed in Section 10.4.6.

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Time Series Modeling Computation And Inference

ISBN: 9781498747028

2nd Edition

Authors: Raquel Prado, Marco A. R. Ferreira, Mike West

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