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@article{ferr:2020,
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@article{BerryWest2018TSM,
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@article{huber:koop:onorante:2020,
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@article{kastner:huber:2020,
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@book{wei:2019,
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@misc{Lopes2018,
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@manual{R_citation,
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@article{fons:ferr:2017,
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@article{NakajimaWest2017BJPS,
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@article{hoeg:ferr:lema:2016,
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@article{ZhouNakajimaWest2014IJF,
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}
					

@article{Queen2009,
  author = {Queen, C. M. and Albers, C. J.},
  title = {Intervention and causality: Forecasting traffic flows using a dynamic Bayesian network},
  journal = {Journal of the American Statistical Association},
  year = {2009},
  volume = {104},
  pages = {669-681}
}
					

@misc{Reeson2009,
  author = {C. Reeson and C. M. Carvalho and M. West},
  title = {Dynamic graphical models and portfolio allocations for structured mutual funds},
  year = {2009}
}
					

@article{orsenetal,
  author = {O. Rosen and D. S. Stoffer and S. Wood},
  title = {Local spectral analysis via a Bayesian mixture of smoothing splines},
  journal = {Journal of the American Statistical Association},
  year = {2009},
  volume = {104},
  pages = {249-262}
}
					

@article{viva:ferr:2009,
  author = {J. C. Vivar and M. A. R. Ferreira},
  title = {Spatio-temporal models for Gaussian areal data},
  journal = {Journal of Computational and Graphical Statistics},
  year = {2009},
  volume = {18},
  pages = {658-674}
}
					

@article{wang:west:09,
  author = {H. Wang and M. West},
  title = {Bayesian analysis of matrix normal graphical models},
  journal = {Biometrika},
  year = {2009},
  volume = {96},
  pages = {821-834}
}
					

@article{yelland2009bayesian,
  author = {Phillip M. Yelland},
  title = {Bayesian forecasting for low-count time series using state-space models: An empirical evaluation for inventory management},
  journal = {International Journal of Production Economics},
  year = {2009},
  volume = {118},
  pages = {95-103}
}
					

@article{Benati08,
  author = {Benati, L.},
  title = {The ``Great Moderation'' in the United Kingdom},
  journal = {Journal of Money, Credit and Banking},
  year = {2008},
  volume = {40},
  pages = {121-147}
}
					

@article{BenatiSurico08,
  author = {Benati, L. and P. Surico},
  title = {Evolving U.S. monetary policy and the decline of inflation predictability},
  journal = {Journal of the European Economic Association},
  year = {2008},
  volume = {6},
  pages = {643-646}
}
					

@article{Carvalho.JASA.2008,
  author = {C. M. Carvalho and J. E. Lucas and Q. Wang and J. Chang and J. R. Nevins and M. West},
  title = {High-dimensional sparse factor modelling - Applications in gene expression genomics},
  journal = {Journal of the American Statistical Association},
  year = {2008},
  volume = {103},
  pages = {1438-1456}
}
					

@article{fons:ferr:migo:2008,
  author = {T. C. O. Fonseca and Marco A. R. Ferreira and H. S. Migon},
  title = {Objective Bayesian analysis for the Student-t regression model},
  journal = {Biometrika},
  year = {2008},
  volume = {95},
  pages = {325-333}
}
					

@article{george:sun:ni:2008,
  author = {George, Edward I and Sun, D. and Ni, S.},
  title = {Bayesian stochastic search for VAR model restrictions},
  journal = {Journal of Econometrics},
  year = {2008},
  volume = {142},
  pages = {553-580}
}
					

@book{greenberg,
  author = {E. Greenberg},
  title = {Introduction to Bayesian Econometrics},
  publisher = {Cambridge University Press},
  year = {2008}
}
					

@techreport{johannes:polson,
  author = {M. Johannes and N. G. Polson},
  title = {Exact particle filtering and learning},
  school = {Graduate School of Business, University of Chicago},
  year = {2008}
}
					

@article{hedietal:2008,
  author = {H. F. Lopes and E. Salazar and D. Gamerman},
  title = {Spatial dynamic factor analysis},
  journal = {Bayesian Analysis},
  year = {2008},
  volume = {3},
  pages = {1-34}
}
					

@article{polson:stroud:muller,
  author = {N. G. Polson and J. R. Stroud and P. Müller},
  title = {Practical filtering with sequential parameter learning},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {2008},
  volume = {39},
  pages = {413-428}
}
					

@article{Queen08,
  author = {Queen, C. M. and Wright, B. J. and Albers, C. J.},
  title = {Forecast covariances in the linear multiregression dynamic model},
  journal = {Journal of Forecasting},
  year = {2008},
  volume = {27},
  pages = {175-191}
}
					

@article{Trianta2008,
  author = {K. Triantafyllopoulos},
  title = {Multivariate stochastic volatility with Bayesian dynamic linear models},
  journal = {Journal of Statistical Planning and Inference},
  year = {2008},
  volume = {138},
  pages = {1021-1037}
}
					

@article{cald:2007,
  author = {C. Calder},
  title = {Dynamic factor process convolution models for multivariate space-time data with application to air quality assessment},
  journal = {Environmental and Ecological Statistics},
  year = {2007},
  volume = {14},
  pages = {229-247}
}
					

@article{cappeetal,
  author = {O. Cappé and S. Godsill and E. Moulines},
  title = {An overview of existing methods and recent advances in sequential Monte Carlo},
  journal = {Proceedings of the IEEE},
  year = {2007},
  volume = {95},
  pages = {899-924}
}
					

@article{carvalho_lopes_2007,
  author = {C. M. Carvalho and H. F. Lopes},
  title = {Simulation-based sequential analysis of Markov switching stochastic volatility models},
  journal = {Computational Statistics and Data Analysis},
  year = {2007},
  volume = {51},
  pages = {4526-4542}
}
					

@article{carvalho:west:07,
  author = {C. M. Carvalho and M. West},
  title = {Dynamic matrix-variate graphical models},
  journal = {Bayesian Analysis},
  year = {2007},
  volume = {2},
  pages = {69-98}
}
					

@book{ferr:lee:2007,
  author = {M. A. R. Ferreira and H. K. H. Lee},
  title = {Multiscale Modeling: A Bayesian Perspective},
  publisher = {Springer},
  year = {2007}
}
					

@article{Lopes2007,
  author = {H. F. Lopes},
  title = {Factor stochastic volatility with time varying loadings},
  journal = {Estadistica},
  year = {2007},
  volume = {57},
  pages = {75-91}
}
					

@article{LopesCarvalho2007,
  author = {H. F. Lopes and C. M. Carvalho},
  title = {Factor stochastic volatility with time varying loadings and Markov switching regimes},
  journal = {Journal of Statistical Planning and Inference},
  year = {2007},
  volume = {137},
  pages = {3082-3091}
}
					

@incollection{delmoraletal2007,
  author = {P. Del Moral and A. Jasra and A. Doucet},
  title = {Sequential Monte Carlo for Bayesian computation (with discussion)},
  booktitle = {Bayesian Statistics 8},
  publisher = {Oxford University Press},
  year = {2007}
}
					

@article{penskyetal,
  author = {M. Pensky and B. Vidakovic and D. DeCanditiis},
  title = {Bayesian decision theoretic scale-adaptive estimation of a log-spectral density},
  journal = {Statistica Sinica},
  year = {2007},
  volume = {17},
  pages = {635-666}
}
					

@article{rosen:stoffer,
  author = {O. Rosen and D. S. Stoffer},
  title = {Automatic estimation of multivariate spectra via smoothing splines},
  journal = {Biometrika},
  year = {2007},
  volume = {94},
  pages = {1-11}
}
					

@article{boa,
  author = {B. J. Smith},
  title = {boa: An R package for MCMC output convergence assessment and posterior inference},
  journal = {Journal of Statistical Software},
  year = {2007},
  volume = {21},
  pages = {1-37}
}
					

@inproceedings{trejo,
  author = {L. J. Trejo and K. Knuth and R. Prado and R. Rosipal and K. Kubitz and R. Kochavi and B. Matthews and Y. Zhang},
  title = {EEG-based estimation of mental fatigue: Convergent evidence for a three-state model},
  booktitle = {Augmented Cognition, HCII 2007, LNAI 4565},
  publisher = {Springer LNCS},
  year = {2007},
  pages = {201-211}
}
					

@inproceedings{trejob,
  author = {L. J. Trejo and R. Matthews and B. Z. Allison},
  title = {Experimental design and testing of a multimodal cognitive overload classifier},
  booktitle = {Foundations of Augmented Cognition},
  publisher = {Strategic Analysis, Inc.},
  year = {2007},
  pages = {13-22}
}
					

@article{triantafyllopoulos:2007,
  author = {K. Triantafyllopoulos},
  title = {Covariance estimation for multivariate conditionally Gaussian dynamic linear models},
  journal = {Journal of Forecasting},
  year = {2007},
  volume = {26},
  pages = {551-569}
}
					

@article{contreras-cristan,
  author = {A. Contreras-Cristán and E. Gutiérrez-Peña and S.G. Walker},
  title = {A note on Whittle's likelihood},
  journal = {Communications in Statistics - Simulation and Computation},
  year = {2006},
  volume = {35},
  pages = {857-875}
}
					

@article{ferr:west:lee:higd:2006,
  author = {Marco A. R. Ferreira and Mike West and Herbert K. H. Lee and David Higdon},
  title = {Multi-scale and hidden resolution time series models},
  journal = {Bayesian Analysis},
  year = {2006},
  volume = {1},
  pages = {947-968}
}
					

@book{sylvia_book,
  author = {S. Frühwirth-Schnatter},
  title = {Finite mixture and Markov switching models},
  publisher = {Springer-Verlag},
  year = {2006}
}
					

@book{dani,
  author = {D. Gamerman and H. F. Lopes},
  title = {Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference},
  publisher = {Chapman & Hall/CRC Press},
  year = {2006},
  edition = {2nd}
}
					

@article{huerta:prado:2006,
  author = {G. Huerta and R. Prado},
  title = {Structured priors for multivariate time series},
  journal = {Journal of Statistical Planning and Inference},
  year = {2006},
  volume = {136},
  pages = {3802-3821}
}
					

@article{delmoraletal2006,
  author = {P. Del Moral and A. Doucet and A. Jasra},
  title = {Sequential Monte Carlo samplers},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {2006},
  volume = {68},
  pages = {411-436}
}
					

@book{percival_walden,
  author = {D. B. Percival and A. T. Walden},
  title = {Wavelet Methods for Time Series Analysis},
  publisher = {Cambridge University Press},
  year = {2006}
}
					

@article{GlickmanER2006,
  author = {A. Philipov and M. E. Glickman},
  title = {Factor multivariate stochastic volatility via Wishart processes},
  journal = {Econometric Reviews},
  year = {2006},
  volume = {25},
  pages = {311-334}
}
					

@article{GlickmanJBES2006,
  author = {A. Philipov and M. E. Glickman},
  title = {Multivariate stochastic volatility via Wishart processes},
  journal = {Journal of Business and Economic Statistics},
  year = {2006},
  volume = {24},
  pages = {313-328}
}
					

@article{coda,
  author = {M. Plummer and N. Best and K. Cowles and K. Vines},
  title = {CODA: Convergence Diagnosis and Output Analysis for MCMC},
  journal = {R News},
  year = {2006},
  volume = {6},
  number = {1},
  pages = {7-11},
  url = {https://journal.r-project.org/archive/}
}
					

@article{prado:molina:huerta:2006,
  author = {R. Prado and F. J. Molina and G. Huerta},
  title = {Multivariate time series modeling and classification via hierarchical VAR mixtures},
  journal = {Computational Statistics and Data Analysis},
  year = {2006},
  volume = {51},
  pages = {1445-1462}
}
					

@techreport{trejoa,
  author = {L. J. Trejo and R. Kochavi and K. Kubitz and L. D. Montgomery and R. Rosipal and B. Matthews},
  title = {EEG-based estimation of mental fatigue},
  school = {neurodia.com},
  year = {2006},
  url = {http://publications.neurodia.com/Trejo-et-al-EEG-Fatigue2006-Manuscript.pdf}
}
					

@incollection{villagran_huerta,
  author = {A. Villagrán and G. Huerta},
  title = {Bayesian inference on mixture-of-experts for estimation of stochastic volatility},
  booktitle = {Econometric Analysis of Financial and Economic Time Series Part B. Advances in Econometrics},
  publisher = {JAI Press},
  year = {2006},
  volume = {20},
  pages = {277-296}
}
					

@incollection{andrieu2005,
  author = {C. Andrieu and A. Doucet and V. Tadić},
  title = {Online simulation-based methods for parameter estimation in non-linear non-Gaussian state-space models},
  booktitle = {Proceedings of IEEE Conference on Decision and Control},
  publisher = {Institute of Electrical and Electronics Engineers},
  year = {2005},
  pages = {332-337}
}
					

@book{cappe:moulines:ryden,
  author = {O. Cappé and E. Moulines and T. Rydén},
  title = {Inference in Hidden Markov Models},
  publisher = {Springer-Verlag},
  year = {2005}
}
					

@article{Chibetal2005,
  author = {S. Chib and F. Nadari and N. Shephard},
  title = {Analysis of high dimensional multivariate stochastic volatility models},
  journal = {Journal of Econometrics},
  year = {2005},
  volume = {134},
  pages = {341-371}
}
					

@article{CogleySargent05,
  author = {Cogley, T. and T. J. Sargent},
  title = {Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S.},
  journal = {Review of Economic Dynamics},
  year = {2005},
  volume = {8},
  pages = {262-302}
}
					

@article{Jones05,
  author = {B. Jones and A. Dobra and C. M. Carvalho and C. Hans and C. Carter and M. West},
  title = {Experiments in stochastic computation for high-dimensional graphical models},
  journal = {Statistical Science},
  year = {2005},
  volume = {20},
  pages = {388-400},
  url = {http://ftp.isds.duke.edu/WorkingPapers/04-01.html}
}
					

@article{jones05biometrika,
  author = {B. Jones and M. West},
  title = {Covariance decomposition in undirected Gaussian graphical models},
  journal = {Biometrika},
  year = {2005},
  volume = {92},
  pages = {779-786},
  url = {http://biomet.oxfordjournals.org/cgi/reprint/92/4/779?ijkey=zjUOJH3mwpG7loh&keytype=ref}
}
					

@book{lut:93,
  author = {H. Lütkepohl},
  title = {New Introduction to Multiple Time Series Analysis},
  publisher = {Springer-Verlag},
  year = {2005}
}
					

@incollection{migon:gamerman:lopes:ferreira,
  author = {H. S. Migon and D. Gamerman and H. F. Lopes and M. A. R. Ferreira},
  title = {Dynamic models},
  booktitle = {Bayesian Thinking, Modeling and Computation},
  publisher = {North Holland},
  year = {2005},
  pages = {553-588}
}
					

@article{ombaoetal:2005,
  author = {H. Ombao and R. von Sachs and W. Guo},
  title = {SLEX analysis of multivariate nonstationary time series},
  journal = {Journal of the American Statistical Association},
  year = {2005},
  volume = {100},
  pages = {519-531}
}
					

@article{Primiceri05,
  author = {Primiceri, G. E.},
  title = {Time varying structural vector autoregressions and monetary policy},
  journal = {Review of Economic Studies},
  year = {2005},
  volume = {72},
  pages = {821-852}
}
					

@book{robertcasella,
  author = {C. P. Robert and G. Casella},
  title = {Monte Carlo Statistical Methods},
  publisher = {Springer-Verlag},
  year = {2005},
  edition = {2nd}
}
					

@proceedings{shep:2005,,
  title = {Stochastic Volatility: Selected Readings},
  publisher = {Oxford University Press},
  year = {2005}
}
					

@article{choudhurietal,
  author = {N. Choudhuri and S. Ghosal and A. Roy},
  title = {Bayesian estimation of the spectral density of a time series},
  journal = {Journal of the American Statistical Association},
  year = {2004},
  volume = {99},
  pages = {1050-1059}
}
					

@article{godsill:doucet:west,
  author = {S. J. Godsill and A. Doucet and M. West},
  title = {Monte Carlo smoothing for non-linear time series},
  journal = {Journal of the American Statistical Association},
  year = {2004},
  volume = {99},
  pages = {156-168}
}
					

@article{huang:ombao:stoffer,
  author = {H-Y. Huan and H. Ombao and D. S. Stoffer},
  title = {Classification and discrimination of non-stationary time series using the SLEX model},
  journal = {Journal of the American Statistical Association},
  year = {2004},
  volume = {99},
  pages = {763-774}
}
					

@article{huer:sans:str,
  author = {G. Huerta and B. Sansó and J. R. Stroud},
  title = {A spatio-temporal model for Mexico City ozone levels},
  journal = {Journal of the Royal Statistical Society (Series C: Applied Statistics)},
  year = {2004},
  volume = {53},
  pages = {231-248}
}
					

@article{hedietal:2004,
  author = {H. F. Lopes and M. West},
  title = {Bayesian model assessment in factor analysis},
  journal = {Statistica Sinica},
  year = {2004},
  volume = {14},
  pages = {41-67}
}
					

@article{mccoystephens,
  author = {E. J. McCoy and D. A. Stephens},
  title = {Bayesian time series analysis of periodic behaviour and spectral structure},
  journal = {International Journal of Forecasting},
  year = {2004},
  volume = {20},
  pages = {713-730}
}
					

@manual{r-manual,
  author = {R Development Core Team},
  title = {R: A Language and Environment for Statistical Computing},
  year = {2004},
  note = {ISBN 3-900051-00-3},
  url = {http://www.R-project.org}
}
					

@book{ande:2003,
  author = {Anderson, Theodore Wilbur},
  title = {An Introduction to Multivariate Statistical Analysis},
  publisher = {Wiley New York},
  year = {2003},
  edition = {3rd}
}
					

@incollection{andrieu:doucet:2003,
  author = {C. Andrieu and A. Doucet},
  title = {On-line expectation-maximization type algorithms for parameter estimation in general state-space models},
  booktitle = {Proceedings of the International Conference on Acoustics, Speech, and Signal Processing},
  publisher = {Institute of Electrical and Electronics Engineers},
  year = {2003},
  pages = {69-72}
}
					

@article{manfred:2002,
  author = {Bousquet, O. and M. K. Warmuth},
  title = {Tracking a small set of experts by mixing past posteriors},
  journal = {Journal of Machine Learning Research},
  year = {2003},
  volume = {3},
  pages = {363-396}
}
					

@book{fanyao,
  author = {J. Fan and Q. Yao},
  title = {Nonlinear Time Series Analysis},
  publisher = {Springer-Verlag},
  year = {2003}
}
					

@incollection{ferr:west:2003,
  author = {Marco A. R. Ferreira and Zhuoxin Bi and Mike West and Herbert K. H. Lee and David Higdon},
  title = {Multi-scale modelling of 1-D permeability fields},
  booktitle = {Bayesian Statistics 7},
  publisher = {Oxford University Press},
  year = {2003},
  pages = {519-527}
}
					

@article{huerta_jiang_tanner,
  author = {G. Huerta and W. Jiang and M. A. Tanner},
  title = {Time series modeling via hierarchical mixtures},
  journal = {Statistica Sinica},
  year = {2003},
  volume = {23},
  pages = {1097-1118}
}
					

@article{hedi:2003,
  author = {H. F. Lopes},
  title = {Expected posterior priors in factor analysis},
  journal = {Brazilian Journal of Probability and Statistics},
  year = {2003},
  volume = {17},
  pages = {91-105}
}
					

@inproceedings{Quintana03,
  author = {J. M. Quintana and V. Lourdes and O. Aguilar and J. Liu},
  title = {Global gambling},
  booktitle = {Bayesian Statistics 7},
  publisher = {Oxford University Press},
  year = {2003},
  pages = {349-368}
}
					

@article{schm:gelf:2003,
  author = {A. M. Schmidt and A. E. Gelfand},
  title = {A Bayesian coregionalization approach for multivariate pollutant data},
  journal = {Journal of Geophysical Research: Atmospheres},
  publisher = {Wiley Online Library},
  year = {2003},
  volume = {108},
  number = {D24}
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@article{shumway:2003,
  author = {R. H. Shumway},
  title = {Time-frequency clustering and discriminant analysis},
  journal = {Statistics and Probability Letters},
  year = {2003},
  volume = {63},
  pages = {307:314}
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@incollection{West03,
  author = {M. West},
  title = {Bayesian factor regression models in the lqlq large p, small n" paradigm},
  booktitle = {Bayesian Statistics 7},
  publisher = {Oxford University Press},
  year = {2003},
  pages = {723-732}
}
					

@article{WongCarter03,
  author = {F. Wong and C. K. Carter and R. Kohn},
  title = {Efficient estimation of covariance selection models},
  journal = {Biometrika},
  year = {2003},
  volume = {90},
  pages = {809-830}
}
					

@book{brockwell:davis2003,
  author = {P. J. Brockwell and R. A. Davis},
  title = {Introduction to Time Series and Forecasting},
  publisher = {Springer-Verlag},
  year = {2002},
  edition = {2nd}
}
					

@article{chib_et_al_2002,
  author = {S. Chib and F. Nadari and N. Shephard},
  title = {Markov chain Monte Carlo methods for stochastic volatility models},
  journal = {Journal of Econometrics},
  year = {2002},
  volume = {108},
  pages = {281-316}
}
					

@article{daniels,
  author = {M. J. Daniels and M. Pourahmadi},
  title = {Bayesian analysis of covariance matrices and dynamic models for longitudinal data},
  journal = {Biometrika},
  year = {2002},
  volume = {89},
  pages = {553-566}
}
					

@article{fearnhead:2002,
  author = {P. Fearnhead},
  title = {MCMC, sufficient statistics and particle filters},
  journal = {Journal of Computational and Graphical Statistics},
  year = {2002},
  volume = {11},
  pages = {848-862}
}
					

@phdthesis{ferr:2002,
  author = {Marco A. R. Ferreira},
  title = {Bayesian Multi-scale Modeling},
  school = {Institute of Statistics and Decision Sciences, Duke University},
  year = {2002}
}
					

@techreport{huerta:prado:2002,
  author = {G. Huerta and R. Prado},
  title = {Exploring common structure in multiple time series viastructured priors for autoregressive processes},
  school = {Department of Applied Mathematics and Statistics, University of Califronia at Santa Cruz; and Department of Mathematics and Statistics, University of New Mexico},
  year = {2002}
}
					

@article{prado:huerta:2002,
  author = {R. Prado and G. Huerta},
  title = {Time-varying autoregressions with model order uncertainty},
  journal = {Journal of Time Series Analysis},
  year = {2002},
  volume = {23},
  pages = {599-618}
}
					

@article{Roverato02,
  author = {A. Roverato},
  title = {Hyper-inverse Wishart distribution for non-decomposable graphs and its application to Bayesian inference for Gaussian graphical models},
  journal = {Scandinavian Journal of Statistics},
  year = {2002},
  volume = {29},
  pages = {391-411}
}
					

@article{Smith2002,
  author = {Smith, M. and R. Kohn},
  title = {Parsimonious covariance matrix estimation for longitudinal data},
  journal = {Journal of the American Statistical Association},
  year = {2002},
  volume = {97},
  pages = {1141-1153}
}
					

@article{storvik:2002,
  author = {G. Storvik},
  title = {Particle filters for state-space models with the presence of unknown static parameters},
  journal = {IEEE Transactions on Signal Processing},
  year = {2002},
  volume = {50},
  pages = {281-289}
}
					

@article{Tebaldi2002,
  author = {C. Tebaldi and M. West and A. F. Karr},
  title = {Statistical analyses of freeway traffic flows},
  journal = {Journal of Forecasting},
  year = {2002},
  volume = {21},
  pages = {39-68}
}
					

@book{doucetdefreitasgordon,
  author = {A. Doucet and N. de Freitas and N. J. Gordon},
  title = {Sequential Monte Carlo Methods in Practice},
  publisher = {Springer-Verlag},
  year = {2001}
}
					

@book{durbin:koopman,
  author = {J. Durbin and S. J. Koopman},
  title = {Time Series Analysis by State Space Methods},
  publisher = {Oxford University Press},
  year = {2001}
}
					

@article{elerian_chib_shephard_2001,
  author = {O. Elerian and S. Chib and N. Shephard},
  title = {Likelihood inference for discretely observed non-linear diffusions},
  journal = {Econometrica},
  year = {2001},
  volume = {69},
  pages = {959-993}
}
					

@article{sylvia_2001,
  author = {S. Frühwirth-Schnatter},
  title = {Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models},
  journal = {Journal of the American Statistical Association},
  year = {2001},
  volume = {96},
  pages = {194-209}
}
					

@article{huerta_jiang_tanner_2001,
  author = {G. Huerta and W. Jiang and M. A. Tanner},
  title = {A comment on the art of Data Augmentation},
  journal = {Journal of Computational and Graphical Statistics},
  year = {2001},
  volume = {10},
  pages = {82-89}
}
					

@article{huer:jian:tann2,
  author = {G. Huerta and W. Jiang and M. A. Tanner},
  title = {Mixtures of time series models (with discussion)},
  journal = {Journal of Computational and Graphical Statistics},
  year = {2001},
  volume = {10},
  pages = {82-89}
}
					

@incollection{hurzeler:kunsch,
  author = {M. Hürzeler and H. Künsch},
  title = {Approximating and maximizing the likelihood for general SSM},
  booktitle = {Sequential Monte Carlo Methods in Practice},
  publisher = {Springer-Verlag},
  year = {2001},
  pages = {159-175}
}
					

@article{liseoetal,
  author = {B. Liseo and D. Marinucci and L. Petrella},
  title = {Bayesian semiparametric inference on long-range dependence},
  journal = {Biometrika},
  year = {2001},
  volume = {88},
  pages = {1089-1104}
}
					

@incollection{liu:west:2001,
  author = {J. Liu and M. West},
  title = {Combined parameter and state estimation in simulation-based filtering},
  booktitle = {Sequential Monte Carlo Methods in Practice},
  publisher = {Springer-Verlag},
  year = {2001},
  pages = {197-217}
}
					

@article{morton:wilson,
  author = {A. S. Morton and G. Tunnicliffe Wilson},
  title = {Extracting economic cycles using modified autoregressions},
  journal = {The Manchester School},
  year = {2001},
  volume = {69},
  pages = {574-585}
}
					

@article{ombaoetal:2001,
  author = {H. Ombao and J. Raz and R. von Sachs and B. Malow},
  title = {Automatic statistical analysis of bivariate nonstationary time series},
  journal = {Journal of the American Statistical Association},
  year = {2001},
  volume = {96},
  pages = {543-560}
}
					

@article{prado:west:krystal:2001,
  author = {R. Prado and M. West and A. D. Krystal},
  title = {Multi-channel EEG analyses via dynamic regression models with time-varying lag/lead structure},
  journal = {Journal of the Royal Statistical Society (Series C: Applied Statistics)},
  year = {2001},
  volume = {50},
  pages = {95-109}
}
					

@inproceedings{tiao:2000univariate,
  author = {G. C. Tiao},
  title = {Univariate autoregressive moving average models},
  booktitle = {A Course in Time Series Analysis},
  publisher = {John Wiley & Sons},
  year = {2001}
}
					

@inproceedings{tiao:2000,
  author = {G. C. Tiao},
  title = {Vector ARMA models},
  booktitle = {A Course in Time Series Analysis},
  publisher = {John Wiley & Sons},
  year = {2001}
}
					

@article{wong_li_2001,
  author = {C. S. Wong and W. K. Li},
  title = {On a mixture autoregressive conditional heteroscedastic model},
  journal = {Journal of the American Statistical Association},
  year = {2001},
  volume = {96},
  pages = {982-995}
}
					

@article{omar:mike:2000,
  author = {O. Aguilar and M. West},
  title = {Bayesian dynamic factor models and portfolio allocation},
  journal = {Journal of Business and Economic Statistics},
  year = {2000},
  volume = {18},
  pages = {338-357}
}
					

@book{bloomfield2000,
  author = {P. Bloomfield},
  title = {Fourier Analysis of Time Series: An Introduction},
  publisher = {John Wiley & Sons},
  year = {2000},
  edition = {2nd}
}
					

@article{chan_petris,
  author = {N. H. Chan and G. Petris},
  title = {Long memory stochastic volatility: A Bayesian approach},
  journal = {Communications in Statistics: Theory and Methods},
  year = {2000},
  volume = {29},
  pages = {1367-1378}
}
					

@article{Cogdon2000,
  author = {P. Congdon},
  title = {A Bayesian approach to prediction using the gravity model, with an application to patient flow modeling},
  journal = {Geographical Analysis},
  publisher = {Blackwell Publishing Ltd},
  year = {2000},
  volume = {32},
  pages = {205-224}
}
					

@article{doucetetal2000,
  author = {A. Doucet and S. J. Godsill and C. Andrieu},
  title = {On sequential Monte Carlo sampling methods for Bayesian filtering},
  journal = {Statistics and Computing},
  year = {2000},
  volume = {10},
  pages = {197-208}
}
					

@inproceedings{doucet:2000,
  author = {A. Doucet and S. J. Godsill and M. West},
  title = {Monte Carlo filtering and smoothing with application to time-varying spectral estimation},
  booktitle = {Proceedings of the IEEE International Conference on Acoustics, Speech and Signal Processing},
  year = {2000},
  pages = {701-704}
}
					

@inproceedings{ferr:game:2000,
  author = {Ferreira, M. A. R. and Gamerman, D.},
  title = {Dynamic generalized linear models},
  booktitle = {Generalized Linear Models: A Bayesian Perspective},
  publisher = {Marcel Dekker},
  year = {2000},
  pages = {57-72}
}
					

@article{ito_xiong,
  author = {K. Ito and K. Xiong},
  title = {Gaussian filters for nonlinear filtering problems},
  journal = {IEEE Transactions on Automatic Control},
  year = {2000},
  volume = {45},
  pages = {910-927}
}
					

@phdthesis{jane:thesis,
  author = {J. Liu},
  title = {Bayesian Time Series: Analysis Methods Using Simulation-based Computation},
  school = {Institute of Statistics and Decision Sciences, Duke University},
  year = {2000}
}
					

@article{liu:chen:2000,
  author = {J. S. Liu and R. Chen},
  title = {Mixture Kalman filters},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {2000},
  volume = {62},
  pages = {493-508}
}
					

@book{hedi:phd,
  author = {H. F. Lopes},
  title = {Bayesian Analysis in Latent Factor and Longitudinal Models},
  publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
  year = {2000}
}
					

@incollection{vandermerwe_et_al,
  author = {R. van der Merwe and A. Doucet and N. de Freitas and E. Wan},
  title = {The unscented particle filter},
  booktitle = {Advances in Neural Information Processing Systems},
  publisher = {MIT Press},
  year = {2000}
}
					

@article{Polson00,
  author = {N. G. Polson and B. Tew},
  title = {Bayesian portfolio selection: An empirical analysis of the S&P500 index 1970 - 1996},
  journal = {Journal of Business and Economic Statistics},
  year = {2000},
  volume = {18},
  pages = {164-173}
}
					

@article{wong_li,
  author = {C. S. Wong and W. K. Li},
  title = {On a mixture autoregressive model},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {2000},
  volume = {62},
  pages = {95-115}
}
					

@inproceedings{aguilaretal,
  author = {O. Aguilar and G. Huerta and R. Prado and M. West},
  title = {Bayesian inference on latent structure in time series (with discussion)},
  booktitle = {Bayesian Statistics 6},
  publisher = {Oxford University Press},
  year = {1999},
  pages = {3-26}
}
					

@article{GiudiciGreen99Biom,
  author = {P. Giudici and P. J. Green},
  title = {Decomposable graphical Gaussian model determination},
  journal = {Biometrika},
  year = {1999},
  volume = {86},
  pages = {785-801}
}
					

@article{huerta:99-2,
  author = {G. Huerta and M. West},
  title = {Bayesian inference on periodicities and component spectral structure in time series},
  journal = {Journal of Time Series Analysis},
  year = {1999},
  volume = {20},
  pages = {401-416}
}
					

@article{huerta:99,
  author = {G. Huerta and M. West},
  title = {Priors and component structures in autoregressive time series models},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1999},
  volume = {61},
  pages = {881-899}
}
					

@inproceedings{manfred:1999,
  author = {Kivinen, J. and M. K. Warmuth},
  title = {Averaging expert predictions},
  booktitle = {EUROCOLT 99},
  publisher = {Springer-Verlag},
  year = {1999},
  pages = {153-167}
}
					

@article{k:p:w:99,
  author = {Krystal, A. D. and R. Prado and M. West},
  title = {New methods of time series analysis of non-stationary EEG data: Eigenstructure decompositions of time-varying autoregressions},
  journal = {Clinical Neurophysiology},
  year = {1999},
  volume = {110},
  pages = {2197-2206}
}
					

@article{pitt:shephard,
  author = {M. K. Pitt and N. Shephard},
  title = {Filtering via simulation: Auxiliary variable particle filter},
  journal = {Journal of the American Statistical Association},
  year = {1999},
  volume = {94},
  pages = {590-599}
}
					

@inproceedings{pitt:shep:1999,
  author = {M. K. Pitt and N. Shephard},
  title = {Time varying covariances: A factor stochastic volatility approach (with discussion)},
  booktitle = {Bayesian Statistics 4},
  publisher = {Oxford University Press},
  year = {1999},
  pages = {547-570}
}
					

@article{stoffer:99,
  author = {D. S. Stoffer},
  title = {Detecting common signals in multiple time series using the spectral envelope},
  journal = {Journal of the American Statistical Association},
  year = {1999},
  volume = {94},
  pages = {1341-1356}
}
					

@book{brani,
  author = {B. Vidakovic},
  title = {Statistical Modeling by Wavelets},
  publisher = {John Wiley & Sons, Texts in Statistics},
  year = {1999}
}
					

@article{w:p:k:99,
  author = {M. West and R. Prado and A. D. Krystal},
  title = {Evaluation and comparison of EEG traces: Latent structure in nonstationary time series},
  journal = {Journal of the American Statistical Association},
  year = {1999},
  volume = {94},
  pages = {1083-1095}
}
					

@article{brooksgelman,
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  title = {General methods for monitoring convergence of iterative simulations},
  journal = {Journal of Computational and Graphical Statistics},
  year = {1998},
  volume = {7},
  pages = {434-55}
}
					

@article{gamerman98,
  author = {D. Gamerman},
  title = {Markov chain Monte Carlo for dynamic generalised linear models},
  journal = {Biometrika},
  year = {1998},
  volume = {85},
  pages = {215-227}
}
					

@book{godsill:rayner:98,
  author = {S. J. Godsill and P. J. W. Rayner},
  title = {Digital Audio Restoration: A Statistical Model-Based Approach},
  publisher = {Springer-Verlag},
  year = {1998}
}
					

@article{higd:1998,
  author = {Higdon, D. M.},
  title = {A process-convolution approach to modeling temperatures in the North Atlantic ocean},
  journal = {Journal of Environmental and Ecological Statistics},
  year = {1998},
  volume = {5},
  pages = {173-190}
}
					

@phdthesis{huerta:98,
  author = {G. Huerta},
  title = {Bayesian Analysis of Latent Structure in Time Series Models},
  school = {Duke University},
  year = {1998}
}
					

@article{kakizawa:etal,
  author = {Y. Kakizawa and R. H. Shumway and M. Taniguchi},
  title = {Discrimination and clustering for multivariate time series},
  journal = {Journal of the American Statistical Association},
  year = {1998},
  volume = {93},
  pages = {328-340}
}
					

@article{kim_shephard_chib_1998,
  author = {S. Kim and N. Shephard and S. Chib},
  title = {Stochastic volatility: Likelihood inference and comparison with ARCH models},
  journal = {Review of Economic Studies},
  year = {1998},
  volume = {65},
  pages = {361-393}
}
					

@article{liu:chen:1998,
  author = {J. S. Liu and R. Chen},
  title = {Sequential Monte Carlo methods for dynamic systems},
  journal = {Journal of the American Statistical Association},
  year = {1998},
  volume = {93},
  pages = {1032-1044}
}
					

@techreport{petriswest,
  author = {G. Petris and M. West},
  title = {Bayesian time series modelling and prediction with long-range dependence},
  school = {Institute of Statistics and Decision Science, Duke University},
  year = {1998}
}
					

@phdthesis{prado:98,
  author = {R. Prado},
  title = {Latent Structure in Non-stationary Time Series},
  school = {Institute of Statistics and Decision Sciences, Duke University},
  year = {1998}
}
					

@article{Tebaldi1998,
  author = {Tebaldi, C. and West, M.},
  title = {Bayesian inference on network traffic using link count data},
  journal = {Journal of the American Statistical Association},
  year = {1998},
  volume = {93},
  pages = {557-573}
}
					

@article{barnett:kohn:sheather:b,
  author = {G. Barnett and R. Kohn and S. Sheather},
  title = {Robust Bayesian estimation of autoregressive-moving-average models},
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  year = {1997},
  volume = {18},
  pages = {11-28}
}
					

@article{berzuinietal,
  author = {C. Berzuini and N. Best and W. R. Gilks and C. Larizza},
  title = {Dynamic conditional independence models and Markov chain Monte Carlo methods},
  journal = {Journal of the American Statistical Association},
  year = {1997},
  volume = {92},
  pages = {1403-1412}
}
					

@article{Cargnoni1997,
  author = {Cargnoni, C. and Müller, P. and West, M.},
  title = {Bayesian forecasting of multinomial time series through conditionally Gaussian dynamic models},
  journal = {Journal of the American Statistical Association},
  year = {1997},
  volume = {92},
  pages = {640-647}
}
					

@article{cart:kohn:97,
  author = {C. K. Carter and R. Kohn},
  title = {Semiparametric Bayesian inference for time series with mixed spectra},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1997},
  volume = {59},
  pages = {255-268}
}
					

@book{yangchen,
  author = {Y. Chen},
  title = {Bayesian Time Series: Financial Models and Spectral Analysis},
  publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
  year = {1997}
}
					

@article{ferr:game:migo:1997,
  author = {Ferreira, M A R and Gamerman, Dani and Migon, H S},
  title = {Bayesian dynamic hierarchical models: Covariance matrices estimation and non-normality},
  journal = {Brazilian Journal of Probability and Statistics},
  year = {1997},
  volume = {11},
  pages = {67-79}
}
					

@article{godsill:1997,
  author = {S. J. Godsill},
  title = {Bayesian enhancement of speech and audio signals which can be modelled as ARMA processes},
  journal = {International Statistical Review},
  year = {1997},
  volume = {65},
  pages = {1-21}
}
					

@inproceedings{julier_uhlmann,
  author = {S. J. Julier and J. K. Uhlmann},
  title = {A new extension of the Kalman filter to nonlinear systems},
  booktitle = {AeroSense: The 11th International Symposium on Aerospace/Defense Sensing, Simulation and Control},
  publisher = {International Society for Optics and Photonics},
  year = {1997},
  pages = {182-193}
}
					

@book{krolzig_97,
  author = {H. M. Krolzig},
  title = {Markov-Switching Vector Autoregressions},
  publisher = {Springer-Verlag},
  year = {1997}
}
					

@article{lewis:raftery:1997,
  author = {S. M. Lewis and A. E. Raftery},
  title = {Estimating Bayes factors via posterior simulation with the Laplace-Metropolis estimator},
  journal = {Journal of the American Statistical Association},
  year = {1997},
  volume = {92},
  pages = {648-655}
}
					

@book{petris,
  author = {G. Petris},
  title = {Bayesian Analysis of Long Memory Time Series},
  publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
  year = {1997}
}
					

@inproceedings{prado:west:97,
  author = {R. Prado and M. West},
  title = {Exploratory modelling of multiple non-stationary time series: Latent process structure and decompositions},
  booktitle = {Modelling Longitudinal and Spatially Correlated Data},
  publisher = {Springer-Verlag},
  year = {1997},
  pages = {349-362}
}
					

@article{nalini:97,
  author = {N. Ravishanker and B. K. Ray},
  title = {Bayesian Analysis of Vector ARMA models using Gibbs sampling},
  journal = {Journal of Forecasting},
  year = {1997},
  volume = {16},
  pages = {177-194}
}
					

@inproceedings{sanso:1997,
  author = {B. Sansó and P. Müller},
  title = {Redesigning a network of rainfall stations},
  booktitle = {Case Studies in Bayesian Statistics 4},
  publisher = {Springer-Verlag},
  year = {1997},
  pages = {383-394}
}
					

@article{uhlig:var,
  author = {H. Uhlig},
  title = {Bayesian vector autoregressions with stochastic volatility},
  journal = {Econometrica},
  year = {1997},
  volume = {1},
  pages = {59-73}
}
					

@inproceedings{west:97bb,
  author = {M. West},
  title = {Bayesian time series: Models and computations for the analysis of time series in the physical sciences},
  booktitle = {Maximum Entropy and Bayesian Methods 15},
  publisher = {Kluwer},
  year = {1997},
  pages = {23-34}
}
					

@inproceedings{west:97b,
  author = {M. West},
  title = {Modelling and robustness issues in Bayesian time series analysis (with discussion)},
  booktitle = {Bayesian Robustness},
  publisher = {Institute of Mathematical Statistics},
  year = {1997},
  pages = {231-252},
  url = {http://ftp.stat.duke.edu/WorkingPapers/95-12.ps}
}
					

@article{west:97a,
  author = {M. West},
  title = {Time series decomposition},
  journal = {Biometrika},
  year = {1997},
  volume = {84},
  pages = {489-94}
}
					

@book{west:harri:97,
  author = {M. West and P. J. Harrison},
  title = {Bayesian Forecasting and Dynamic Models},
  publisher = {Springer-Verlag},
  year = {1997},
  edition = {2nd}
}
					

@article{barnett:kohn:sheather:a,
  author = {G. Barnett and R. Kohn and S. Sheather},
  title = {Bayesian estimation of an autoregressive model using Markov chain Monte Carlo},
  journal = {Journal of Econometrics},
  year = {1996},
  volume = {74},
  pages = {237-254}
}
					

@techreport{bielza:1996,
  author = {C. Bielza and P. Müller and D. R\ios-Insúa},
  title = {Monte Carlo methods for decision analysis with applications to influence diagrams},
  school = {Institute of Statistics and Decision Sciences, Duke University},
  year = {1996},
  number = {96-07}
}
					

@book{chatfield,
  author = {C. Chatfield},
  title = {The Analysis of Time Series: An Introduction},
  publisher = {Chapman & Hall/CRC Press},
  year = {1996},
  edition = {5th}
}
					

@article{Geweke96,
  author = {J. F. Geweke and G. Zhou},
  title = {Measuring the pricing error of the arbitrage pricing theory},
  journal = {Review of Financial Studies},
  year = {1996},
  volume = {9},
  pages = {557-587}
}
					

@incollection{Giudici96,
  author = {P. Giudici},
  title = {Learning in graphical Gaussian models},
  booktitle = {Bayesian Statistics 5},
  publisher = {Oxford University Press},
  year = {1996},
  pages = {621-628}
}
					

@article{kalnayetal:1996,
  author = {Kalnay, Eugenia and Kanamitsu, Masao and Kistler, Robert and Collins, William and Deaven, Dennis and Gandin, Lev and Iredell, Mark and Saha, Suranjana and White, Glenn and Woollen, John and others},
  title = {The NCEP/NCAR 40-year reanalysis project},
  journal = {Bulletin of the American meteorological Society},
  year = {1996},
  volume = {437-470},
  pages = {77}
}
					

@article{kitagawa:1996,
  author = {G. Kitagawa},
  title = {Monte Carlo filter and smoother for non-Gaussian nonlinear state space models},
  journal = {Journal of Computational and Graphical Statistics},
  year = {1996},
  volume = {5},
  pages = {1-25}
}
					

@book{kita:gersch:96,
  author = {G. Kitagawa and W. Gersch},
  title = {Smoothness Priors Analysis of Time Series},
  publisher = {Springer-Verlag},
  year = {1996}
}
					

@book{lauritzen96,
  author = {Lauritzen, S. L.},
  title = {Graphical Models},
  publisher = {Clarendon Press},
  year = {1996}
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@article{liu:96,
  author = {J. S. Liu},
  title = {Metropolized independent sampling with comparisons to rejection sampling and importance sampling},
  journal = {Statistical Computing},
  year = {1996},
  volume = {6},
  pages = {113-119}
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@incollection{marriott:ravishanker:gelfand:pai,
  author = {J. M. Marriott and N. Ravishanker and A. E. Gelfand and J. Pai},
  title = {Bayesian analysis of ARMA processes: Complete sampling-based inference under exact likelihoods},
  booktitle = {Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner},
  publisher = {John Wiley & Sons},
  year = {1996},
  pages = {243-256}
}
					

@inproceedings{petris_2,
  author = {G. Petris and M. West},
  title = {Bayesian spectral analysis of long memory time series},
  booktitle = {Proceedings of the 1996 Joint Statistical Meetings},
  publisher = {American Statistical Association},
  year = {1996}
}
					

@article{PinheiroBates96,
  author = {Pinheiro, J. C. and D. M. Bates},
  title = {Unconstrained parametrizations for variance-covariance matrices},
  journal = {Statistics and Computing},
  year = {1996},
  volume = {6},
  pages = {289-296}
}
					

@inproceedings{quintana:putnam:96,
  author = {J.M. Quintana and B. H. Putnam},
  title = {Debating currency markets efficiency using multiple-factor models},
  booktitle = {Proceedings of the ASA Section on Bayesian Statistical Science, Joint Statistical Meetings},
  publisher = {American Statistical Association},
  year = {1996},
  pages = {55-80}
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@article{raoetal:1996,
  author = {R. Rao and W. Tirtotjondro},
  title = {Investigation of changes in characteristics of hydrological time series by Bayesian methods},
  journal = {Stochastic Hydrology and Hydraulics},
  year = {1996},
  volume = {10},
  pages = {295-317}
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@book{zellner:1996,
  author = {A. Zellner},
  title = {An Introduction to Bayesian Inference in Econometrics},
  publisher = {John Wiley & Sons},
  year = {1996}
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@article{chib:greenberg2,
  author = {S. Chib and E. Greenberg},
  title = {Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models},
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  year = {1995},
  volume = {68},
  pages = {339-360}
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@article{green:95,
  author = {P. J. Green},
  title = {Reversible jump Markov chain Monte Carlo computation and Bayesian model determination},
  journal = {Biometrika},
  year = {1995},
  volume = {82},
  pages = {711-732}
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@techreport{Jacquieretal1995,
  author = {E. Jacquier and N. G. Polson and P. E. Rossi},
  title = {Models and priors for multivariate stochastic volatility},
  school = {Graduate School of Business, University of Chicago},
  year = {1995}
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@article{liu:chen:1995,
  author = {J. S. Liu and R. Chen},
  title = {Blind deconvolution via sequential imputation},
  journal = {Journal of the American Statistical Association},
  year = {1995},
  volume = {90},
  pages = {567-576}
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@inproceedings{Quintana95,
  author = {J. M. Quintana and V. K. Chopra and B. H. Putnam},
  title = {Global asset allocation: Stretching returns by shrinking forecasts},
  booktitle = {Proceedings of the ASA Section on Bayesian Statistical Science},
  publisher = {American Statistical Association},
  year = {1995}
}
					

@book{beran,
  author = {J. Beran},
  title = {Statistics for Long Memory Processes},
  publisher = {Chapman & Hall/CRC Press},
  year = {1994}
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@article{cart:kohn:94,
  author = {C. K. Carter and R. Kohn},
  title = {Gibbs sampling for state space models},
  journal = {Biometrika},
  year = {1994},
  volume = {81},
  pages = {541-553}
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@article{chib:greenberg,
  author = {S. Chib and E. Greenberg},
  title = {Bayes inference in regression models with ARMA(p,q) errors},
  journal = {Journal of Econometrics},
  year = {1994},
  volume = {64},
  pages = {183-206}
}
					

@article{fruh:94,
  author = {S. Frühwirth-Schnatter},
  title = {Data augmentation and dynamic linear models},
  journal = {Journal of Time Series Analysis},
  year = {1994},
  volume = {15},
  pages = {183-202}
}
					

@book{hamilton94,
  author = {J. D. Hamilton},
  title = {Time Series Analysis},
  publisher = {Princeton University Press},
  year = {1994}
}
					

@article{HarveyRuizShephard1994,
  author = {A. C. Harvey and E. Ruiz and N. Shephard},
  title = {Multivariate stochastic variance models},
  journal = {Review of Economic Studies},
  year = {1994},
  volume = {61},
  pages = {247-264}
}
					

@article{jacquier:polson:rossi,
  author = {E. Jacquier and N. G. Polson and P. E. Rossi},
  title = {Bayesian analysis of stochastic volatility models},
  journal = {Journal of Business and Economic Statistics},
  year = {1994},
  volume = {12},
  pages = {371-389}
}
					

@article{jordan_jacobs,
  author = {M. I. Jordan and R. A. Jacobs},
  title = {Hierarchical mixtures of experts and the EM algorithm},
  journal = {Neural Computation},
  year = {1994},
  volume = {6},
  pages = {181-214}
}
					

@article{kong:liu:wong,
  author = {A. Kong and J. S. Liu and W. H. Wong},
  title = {Sequential imputations and Bayesian missing data problems},
  journal = {Journal of the American Statistical Association},
  year = {1994},
  volume = {89},
  pages = {278-288}
}
					

@article{mcculloch_tsay_94,
  author = {R. E. McCulloch and R. S. Tsay},
  title = {Bayesian inference of trend- and difference-stationarity},
  journal = {Economic Theory},
  year = {1994},
  volume = {10},
  pages = {596-608}
}
					

@book{bats,
  author = {A. Pole and M. West and P. J. Harrison},
  title = {Applied Bayesian Forecasting and Time Series Analysis},
  publisher = {Chapman & Hall/CRC Press},
  year = {1994}
}
					

@book{priestley,
  author = {M. B. Priestley},
  title = {Spectral Analysis and Time Series},
  publisher = {Academic Press},
  year = {1994},
  edition = {8th}
}
					

@inproceedings{Putnam94,
  author = {B. H. Putnam and J. M. Quintana},
  title = {New Bayesian statistical approaches to estimating and evaluating models of exchange rates determination},
  booktitle = {Proceedings of the ASA Section on Bayesian Statistical Science},
  publisher = {American Statistical Association},
  year = {1994}
}
					

@article{Queen94,
  author = {C. M. Queen},
  title = {Using the multiregression dynamic model to forecast brand sales in a competitive product market},
  journal = {Journal of the Royal Statistical Society (Series D: The Statistician)},
  year = {1994},
  volume = {43},
  pages = {87-98}
}
					

@article{shephard:94,
  author = {N. Shephard},
  title = {Local scale models: State-space alternative to integrated GARCH models},
  journal = {Journal of Econometrics},
  year = {1994},
  volume = {60},
  pages = {181-202}
}
					

@article{uhlig,
  author = {H. Uhlig},
  title = {On singular Wishart and singular multivariate beta distributions},
  journal = {Annals of Statistics},
  year = {1994},
  volume = {22},
  pages = {395-405}
}
					

@article{yang:berger,
  author = {R. Yang and J. O. Berger},
  title = {Estimation of a covariance matrix using the reference prior},
  journal = {Annals of Statistics},
  year = {1994},
  volume = {22},
  pages = {1195-1211}
}
					

@article{albertandchib,
  author = {J. H. Albert and S. Chib},
  title = {Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts},
  journal = {Journal of Business and Economic Statistics},
  year = {1993},
  volume = {11},
  pages = {1-15}
}
					

@article{dawid93,
  author = {A. P. Dawid and S. L. Lauritzen},
  title = {Hyper-Markov laws in the statistical analysis of decomposable graphical models},
  journal = {The Annals of Statistics},
  year = {1993},
  volume = {3},
  pages = {1272-1317}
}
					

@article{gamerman:migon:93,
  author = {D. Gamerman and H. S. Migon},
  title = {Dynamic hierarchical models},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1993},
  volume = {55},
  pages = {629-642}
}
					

@article{gordonetal,
  author = {N. J. Gordon and D. Salmond and A. F. M. Smith},
  title = {Novel approach to nonlinear/non-Gaussian Bayesian state estimation},
  journal = {IEEE Proceedings F, Radar and Signal Processing},
  year = {1993},
  volume = {140},
  pages = {107-113}
}
					

@book{percivalwalden1993,
  author = {D. B. Percival and A. T. Walden},
  title = {Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques},
  publisher = {Cambridge University Press},
  year = {1993}
}
					

@article{Smith93,
  author = {C. M. Queen and J. Q. Smith},
  title = {Multiregression dynamic models},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1993},
  volume = {55},
  pages = {849-870}
}
					

@book{reinsel,
  author = {G. C. Reinsel},
  title = {Elements of Multivariate Time Series Analysis},
  publisher = {Springer-Verlag},
  year = {1993},
  edition = {2nd}
}
					

@incollection{kn:weiner:krystal:93,
  author = {R. D. Weiner and A. D. Krystal},
  title = {EEG Monitoring of ECT Seizures},
  booktitle = {The Clinical Science of Electroconvulsive Therapy},
  publisher = {American Psychiatric Press},
  year = {1993},
  pages = {93-109}
}
					

@article{west:1993a,
  author = {M. West},
  title = {Approximating posterior distributions by mixtures},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1993},
  volume = {55},
  pages = {409-422}
}
					

@inproceedings{west:1993b,
  author = {M. West},
  title = {Mixture models, Monte Carlo, Bayesian updating and dynamic models},
  booktitle = {Computing Science and Statistics: Proceedings of the 24th Symposium of the Interface},
  publisher = {Interface Foundation of North America},
  year = {1993},
  pages = {325-333}
}
					

@article{Boll92,
  author = {T. Bollerslev and R. Chou and K. Kroner},
  title = {ARCH modeling in finance},
  journal = {Journal of Econometrics},
  year = {1992},
  volume = {52},
  pages = {5-59}
}
					

@article{carlin:polson:stoffer,
  author = {B. P. Carlin and N. G. Polson and D. S. Stoffer},
  title = {A Monte Carlo approach to nonnormal nonlinear state-space modelling},
  journal = {Journal of the American Statistical Association},
  year = {1992},
  volume = {87},
  pages = {493-500}
}
					

@article{gelmanrubin,
  author = {A. Gelman and D. B. Rubin},
  title = {Inference from iterative simulation using multiple sequences},
  journal = {Statistical Science},
  year = {1992},
  volume = {7},
  pages = {457-472}
}
					

@incollection{geweke,
  author = {J. F. Geweke},
  title = {Evaluating the accuracy of sampling-based approaches to calculating posterior moments},
  booktitle = {Bayesian Statistics 4},
  publisher = {Oxford University Press},
  year = {1992},
  pages = {169-194}
}
					

@article{marriott:smith,
  author = {J. M. Marriott and A. F. M. Smith},
  title = {Reparametrization aspects of numerical Bayesian methodology for autoregressive moving-average models},
  journal = {Journal of Time Series Analysis},
  year = {1992},
  volume = {13},
  pages = {327-343}
}
					

@article{molenaar:dg:schm,
  author = {P. C. M. Molenaar and J. G. de Gooijer and B. Schmitz},
  title = {Dynamic factor analysis of nonstationary multivariate time series},
  journal = {Psychometrika},
  year = {1992},
  volume = {57},
  pages = {333-349}
}
					

@inproceedings{Quintana92,
  author = {J. M. Quintana},
  title = {Optimal portfolios of forward currency contracts},
  booktitle = {Bayesian Statistics 4},
  publisher = {Oxford University Press},
  year = {1992},
  pages = {753-762}
}
					

@inproceedings{raftery:lewisa,
  author = {A. E. Raftery and S. M. Lewis},
  title = {How many iterations in the Gibbs sampler?},
  booktitle = {Bayesian Statistics 4},
  publisher = {Oxford University Press},
  year = {1992},
  pages = {763-774}
}
					

@book{Bodkinetal1991,
  author = {R. G. Bodkin and L. R. Klein and K. Marwah},
  title = {A History of Macroeconometric Model-Building},
  publisher = {Edward Elgar},
  year = {1991}
}
					

@book{brockwell:davis,
  author = {P. J. Brockwell and R. A. Davis},
  title = {Time series: Theory and Methods},
  publisher = {Springer-Verlag},
  year = {1991},
  edition = {2nd}
}
					

@book{harvey:91,
  author = {A. C. Harvey},
  title = {Forecasting, Structural Time Series Models and the Kalman Filter},
  publisher = {Cambridge University Press},
  year = {1991}
}
					

@article{kn:sack:deva:prud:91,
  author = {H. A. Sackiem and D. P. Devanand and J. Prudic},
  title = {Stimulus intensity, seizure threshold, and seizure duration: Impact on the efficacy and safety of electroconvulsive therapy},
  journal = {Psychiatric Clinics of North America},
  year = {1991},
  volume = {14},
  pages = {803-43}
}
					

@article{bretthorst:1990a,
  author = {L. G. Bretthorst},
  title = {Bayesian analysis II. Signal detection and model selection},
  journal = {Journal of Magnetic Resonance},
  year = {1990},
  volume = {88},
  pages = {552-570}
}
					

@article{bretthorst:1990b,
  author = {L. G. Bretthorst},
  title = {Bayesian analysis III. Examples relevant to NMR},
  journal = {Journal of Magnetic Resonance},
  year = {1990},
  volume = {88},
  pages = {571-595}
}
					

@book{diggle,
  author = {P. Diggle},
  title = {Time Series: A Biostatistical Introduction},
  publisher = {Oxford University Press},
  year = {1990}
}
					

@book{kendall:ord,
  author = {M. G. Kendall and J. K. Ord},
  title = {Time Series},
  publisher = {Edward Arnold},
  year = {1990},
  edition = {3rd}
}
					

@incollection{kn:pedley:90,
  author = {T. A. Pedley and R. D. Traub},
  title = {Physiological basis of the EEG},
  booktitle = {Current Practice of Clinical Electroencephalography},
  publisher = {Raven Press},
  year = {1990},
  pages = {107-138}
}
					

@book{tong,
  author = {H. Tong},
  title = {Non-linear Time Series: A Dynamical Systems Approach},
  publisher = {Oxford University Press},
  year = {1990}
}
					

@article{wei:tanner,
  author = {G. C. G. Wei and M. A. Tanner},
  title = {A Monte Carlo implementation of the EM algorithm and the poor man's data augmentation algorithm},
  journal = {Journal of the American Statistical Association},
  year = {1990},
  volume = {85},
  pages = {699-704}
}
					

@book{whittaker90,
  author = {J. Whittaker},
  title = {Graphical Models in Applied Multivariate Statistics},
  publisher = {John Wiley & Sons},
  year = {1990}
}
					

@article{tiao:tsay:89,
  author = {G. C. Tiao and R. S. Tsay},
  title = {Model specification in multivariate time series with applications (with discussion)},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1989},
  volume = {51},
  pages = {157-213}
}
					

@book{west:harri:89,
  author = {M. West and P. J. Harrison},
  title = {Bayesian Forecasting and Dynamic Models},
  publisher = {Springer-Verlag},
  year = {1989},
  edition = {1st}
}
					

@article{west:harrison:1989,
  author = {M. West and P. J. Harrison},
  title = {Subjective intervention in formal models},
  journal = {Journal of Forecasting},
  year = {1989},
  volume = {8},
  pages = {33-53}
}
					

@book{bretthorst,
  author = {L. G. Bretthorst},
  title = {Bayesian Spectral Analysis and Parameter Estimation},
  publisher = {Springer-Verlag},
  year = {1988}
}
					

@article{cleveland88,
  author = {W. S. Cleveland and S. J. Devlin},
  title = {Locally weighted regression: An approach to regression analysis by local fitting},
  journal = {Journal of the American Statistical Association},
  year = {1988},
  volume = {83},
  pages = {596-610}
}
					

@inproceedings{quintanawest88,
  author = {J. M. Quintana and M. West},
  title = {Time series analysis of compositional data},
  booktitle = {Bayesian Statistics 3},
  publisher = {Oxford University Press},
  year = {1988},
  pages = {747-756}
}
					

@incollection{rubin:88,
  author = {D. B. Rubin},
  title = {Using the SIR algorithm to simulate posterior distributions},
  booktitle = {Bayesian Statistics 3},
  publisher = {Oxford University Press},
  year = {1988},
  pages = {395-402}
}
					

@article{harrison:west:1987,
  author = {P. J. Harrison and M. West},
  title = {Practical Bayesian forecasting},
  journal = {The Statistician},
  year = {1987},
  volume = {36},
  pages = {115-125}
}
					

@article{kn:penbox87,
  author = {D. Peña and G. E. P. Box},
  title = {Identifying a simplifying structure in time series},
  journal = {Journal of the American Statistical Association},
  year = {1987},
  volume = {82},
  pages = {836-843}
}
					

@book{quintanaphd,
  author = {J. M. Quintana},
  title = {Multivariate Bayesian Forecasting Models},
  publisher = {PhD Thesis: Department of Statistics, University of Warwick, UK},
  year = {1987}
}
					

@article{quintana:west:87,
  author = {J. M. Quintana and M. West},
  title = {Multivariate time series analysis: New techniques applied to international exchange rate data},
  journal = {The Statistician},
  year = {1987},
  volume = {36},
  pages = {275-281}
}
					

@article{quintanawest87,
  author = {J. M. Quintana and M. West},
  title = {Multivariate time series analysis: New techniques applied to international exchange rate data},
  journal = {The Statistician},
  year = {1987},
  volume = {36},
  pages = {275-281}
}
					

@article{west:harrison:1986,
  author = {M. West and P. J. Harrison},
  title = {Monitoring and adaptation in Bayesian forecasting models},
  journal = {Journal of the American Statistical Association},
  year = {1986},
  volume = {81},
  pages = {741-750}
}
					

@incollection{ameen:harrison:1985b,
  author = {J. R. M. Ameen and P. J. Harrison},
  title = {Discount Bayesian multi-process modelling with cusums},
  booktitle = {Time Series Analysis: Theory and Practice 5},
  publisher = {North-Holland},
  year = {1985},
  pages = {117-134}
}
					

@incollection{ameen:harrison:1985a,
  author = {J. R. M. Ameen and P. J. Harrison},
  title = {Normal discount Bayesian models (with discussion)},
  booktitle = {Bayesian Statistics 2},
  publisher = {North-Holland, Amsterdam, and Valencia University Press},
  year = {1985},
  pages = {271-298}
}
					

@inproceedings{heyse:wei:1985,
  author = {J.F. Heyse and W. W. S. Wei},
  title = {Inverse and partial lag autocorrelation for vector time series},
  booktitle = {ASA Proceedings of Business and Economic Statistics Section},
  year = {1985},
  pages = {233-237}
}
					

@article{juang_rabiner,
  author = {B. H. Juang and L. R. Rabiner},
  title = {Mixture autoregressive hidden Markov models for speech signals},
  journal = {IEEE Transactions on Acoustics, Speech, and Signal Processing},
  year = {1985},
  volume = {33},
  pages = {1404-1413}
}
					

@article{kita:gersch:85,
  author = {G. Kitagawa and W. Gersch},
  title = {A smoothness priors time varying AR coefficient modeling of non-stationary time series},
  journal = {IEEE Transactions on Automatic Control},
  year = {1985},
  volume = {30},
  pages = {48-56}
}
					

@article{kohn:ansley,
  author = {R. Kohn and C. F. Ansley},
  title = {Efficient estimation and prediction in time series regression models},
  journal = {Biometrika},
  year = {1985},
  volume = {72},
  pages = {694-697}
}
					

@techreport{quintanatechreport,
  author = {J. M. Quintana},
  title = {A dynamic linear matrix-variate regression model},
  school = {University of Warwick, UK},
  year = {1985}
}
					

@article{west:harrison:migon,
  author = {M. West and P. J. Harrison and H. S. Migon},
  title = {Dynamic generalised linear models and Bayesian forecasting (with discussion)},
  journal = {Journal of the American Statistical Association},
  year = {1985},
  volume = {80},
  pages = {73-97}
}
					

@article{litterman_2,
  author = {T. Doan and R. Litterman and C. A. Sims},
  title = {Forecasting and conditional projection using realistic prior distributions},
  journal = {Econometric Reviews},
  year = {1984},
  volume = {3},
  pages = {1-100}
}
					

@article{geman:geman,
  author = {S. Geman and D. Geman},
  title = {Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images},
  journal = {IEEE Transactions on Pattern Analysis and Machine Intelligence},
  year = {1984},
  volume = {6},
  pages = {721-741}
}
					

@article{monahan:84,
  author = {J. F. Monahan},
  title = {A note on enforcing stationarity in autoregressive moving average models},
  journal = {Biometrika},
  year = {1984},
  volume = {71},
  pages = {403-404}
}
					

@article{gewekeporterhudak,
  author = {J. F. Geweke and S. Porter-Hudak},
  title = {The estimation and application of long memory time series models},
  journal = {Journal of Time Series Analysis},
  year = {1983},
  volume = {4},
  pages = {221-238}
}
					

@article{heidel,
  author = {P. Heidelberger and P. Welch},
  title = {Simulation run length control in the presence of an initial transient},
  journal = {Operations Research},
  year = {1983},
  volume = {31},
  pages = {1109-1144}
}
					

@book{kendall:stuart:ord,
  author = {M. G. Kendall and A. Stuart and J. K. Ord},
  title = {The Advanced Theory of Statistics},
  publisher = {Griffin},
  year = {1983},
  volume = {3},
  edition = {4th}
}
					

@article{monahan:83,
  author = {J. F. Monahan},
  title = {Fully Bayesian Analysis of ARMA time series models},
  journal = {Journal of Econometrics},
  year = {1983},
  volume = {21},
  pages = {307-331}
}
					

@article{smith:west:1983,
  author = {A. F. M. Smith and M. West},
  title = {Monitoring renal transplants: An application of the multi-process Kalman filter},
  journal = {Biometrics},
  year = {1983},
  volume = {39},
  pages = {867-878}
}
					

@book{tongtar,
  author = {H. Tong},
  title = {Threshold Models in Non-linear Time Series Analysis},
  publisher = {Springer-Verlag},
  year = {1983}
}
					

@article{engle_82,
  author = {R. F. Engle},
  title = {Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation},
  journal = {Econometrica},
  year = {1982},
  volume = {50},
  pages = {987-1007}
}
					

@book{press:82,
  author = {S. J. Press},
  title = {Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference},
  publisher = {Krieger},
  year = {1982}
}
					

@article{dawid:81,
  author = {A. P. Dawid},
  title = {Some matrix-variate distribution theory: Notational considerations and Bayesian application},
  journal = {Biometrika},
  year = {1981},
  volume = {68},
  pages = {265-274}
}
					

@article{geweke:singleton,
  author = {J. F. Geweke and K. J. Singleton},
  title = {Latent variable models for time series: A frequency domain approach to the Permanent Income Hypothesis},
  journal = {Journal of Econometrics},
  year = {1981},
  volume = {17},
  pages = {287-304}
}
					

@book{harvey:81,
  author = {A. C. Harvey},
  title = {Time Series Models},
  publisher = {Philip Allan},
  year = {1981}
}
					

@article{hosking,
  author = {J. R. M. Hosking},
  title = {Fractional differencing},
  journal = {Biometrika},
  year = {1981},
  volume = {68},
  pages = {165-176}
}
					

@article{tiao:box:1981,
  author = {G. C. Tiao and G. E. P. Box},
  title = {Modeling Multiple Time Series with Applications},
  journal = {Journal of the American Statistical Association},
  year = {1981},
  volume = {76},
  pages = {802-816}
}
					

@article{grangerjoyeux,
  author = {C. W. Granger and R. Joyeux},
  title = {An introduction to long-memory time series models and fractional differencing},
  journal = {Journal of Time Series Analysis},
  year = {1980},
  volume = {4},
  pages = {221-238}
}
					

@article{cleveland79,
  author = {W.S. Cleveland},
  title = {Robust locally weighted regression and smoothing scatterplots},
  journal = {Journal of the American Statistical Association},
  year = {1979},
  volume = {74},
  pages = {829-836}
}
					

@article{hillmer:tiao,
  author = {S. C. Hillmer and G. C. Tiao},
  title = {Likelihood function of stationary multiple autoregressive moving average processes},
  journal = {Journal of the American Statistical Association},
  year = {1979},
  volume = {74},
  pages = {652-660}
}
					

@techreport{litterman,
  author = {R. Litterman},
  title = {Techniques for forecasting using vector autoregressions},
  school = {Federal Reserve Bank of Minneapolis},
  year = {1979},
  number = {115}
}
					

@article{troutman,
  author = {B. M. Troutman},
  title = {Some results in periodic autoregression},
  journal = {Biometrika},
  year = {1979},
  volume = {66},
  pages = {219-228}
}
					

@book{mak:wheel,
  author = {S. Makridadis and S. C. Wheelwright},
  title = {Forecasting Methods and Applications},
  publisher = {John Wiley & Sons},
  year = {1978}
}
					

@article{schwarz,
  author = {G. Schwarz},
  title = {Estimating the dimension of the model},
  journal = {Annals of Statistics},
  year = {1978},
  volume = {6},
  pages = {461-464}
}
					

@article{dempster.et.al.,
  author = {A. P. Dempster and N. M. Laird and D. B. Rubin},
  title = {Maximum likelihood from incomplete data via EM algorithm},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1977},
  volume = {39},
  pages = {1-18}
}
					

@article{harrison:stevens:76,
  author = {P. J. Harrison and C. Stevens},
  title = {Bayesian forecasting (with discussion)},
  journal = {Journal of the Royal Statistical Society (Series B: Methodological)},
  year = {1976},
  volume = {38},
  pages = {205-247}
}
					

@article{akaike2,
  author = {H. Akaike},
  title = {A new look at statistical model identification},
  journal = {IEEE Transactions on Automatic Control},
  year = {1974},
  volume = {AC-19},
  pages = {716-723}
}
					

@article{priestley:subbarao:tong,
  author = {M. B. Priestley and T. Subba-Rao and H. Tong},
  title = {Applications of principal components analysis and factor analysis in the identification of multivariable systems},
  journal = {IEEE Transactions on Automatic Control},
  year = {1974},
  volume = {19},
  pages = {730-734}
}
					

@article{barndorff-nielsen:schou:73,
  author = {O. E. Barndorff-Nielsen and G. Schou},
  title = {On the reparameterization of autoregressive models by partial autocorrelations},
  journal = {Journal of Multivariate Analysis},
  year = {1973},
  volume = {3},
  pages = {408-419}
}
					

@book{boxtiao,
  author = {G. E. P. Box and G. C. Tiao},
  title = {Bayesian Inference in Statistical Analysis},
  publisher = {Addison-Wesley},
  year = {1973}
}
					

@article{green:harrison:1973,
  author = {M. Green and P. J. Harrison},
  title = {Fashion forecasting for a mail order company},
  journal = {Operational Research Quarterly},
  year = {1973},
  volume = {24},
  pages = {193-205}
}
					

@article{lindley:smith:72,
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@article{harrison:stevens:71,
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  pages = {342-362}
}
					

@article{hastings,
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  year = {1970},
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@book{jazwinski,
  author = {A. Jazwinski},
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@article{mitra:1970,
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@article{tan:1969,
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@article{kalman,
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@book{Markowitz59,
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@article{sper:1904,
  author = {C. Spearman},
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}