Automatic Monitoring and Intervention in Linear Gaussian State- Space Models: A Bayesian Approach
Manuel Salvador, Pilar Gargallo · RePEc: Research Papers in Economics · 2003
An automatic monitoring and intervention algorithm that permits the supervision of very general aspects in an univariate linear gaussian state space model is proposed. The algorithm makes use of a model comparison and selection approach within a Bayesian framework. In addition, this algorithm incorporates the possibility of eliminating earlier interventions when subsequent evidence against them comes to light. Finally, the procedure is illustrated with three empirical examples taken from the literature.