Queen, Catriona M.; Wright, Ben J.; Albers, Casper J. - In: Journal of Forecasting 27 (2008) 2, pp. 175-191
The linear multiregression dynamic model (LMDM) is a Bayesian dynamic model which preserves any conditional independence and causal structure across a multivariate time series. The conditional independence structure is used to model the multivariate series by separate (conditional) univariate...