Introduction to the DLM: The Dynamic Regression Model
In this chapter some basic concepts that underlie the general DLM theory are introduced and developed in the context of dynamic linear regression. Although we introduce the general multiple regression model, details of analysis and examples are considered only for the very special case of straight line regression through the origin. Although seemingly trivial, this particular case effectively illustrates the important messages at this introductory stage without the technical complications of larger and more practically important models.
KeywordsForecast Error Discount Factor Adaptive Model Regressor Variable Straight Line Regression
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