Prado & West 2010
Time Series: Modeling, Computation & Inference (2nd Edn)
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    Authors Title Year Journal/Proceedings/Book
    Aguilar, O.; Huerta, G.; Prado, R. & West, M. Bayesian inference on latent structure in time series (with discussion) 1999 Bayesian Statistics 6 (eds: Bernardo, J.M.; Berger, J.O.; Dawid, A.P. & Smith, A.F.M.)3-26  
    BibTeX:
    @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}
    }
    					
    Aguilar, O. & West, M. Bayesian dynamic factor models and portfolio allocation 2000 Journal of Business and Economic Statistics
    18: 338-357  
    BibTeX:
    @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}
    }
    					
    Akaike, H. Fitting autoregressive models for prediction 1969 Annals of the Institute of Statistical Mathematical
    21: 243-247  
    BibTeX:
    @article{akaike1,
      author = {H. Akaike},
      title = {Fitting autoregressive models for prediction},
      journal = {Annals of the Institute of Statistical Mathematical},
      year = {1969},
      volume = {21},
      pages = {243-247}
    }
    					
    Akaike, H. A new look at statistical model identification 1974 IEEE Transactions on Automatic Control
    AC-19: 716-723  
    BibTeX:
    @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}
    }
    					
    Albert, J.H. & Chib, S. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts 1993 Journal of Business and Economic Statistics
    11: 1-15  
    BibTeX:
    @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}
    }
    					
    Ameen, J.R.M. & Harrison, P.J. Normal discount Bayesian models (with discussion) 1985 Bayesian Statistics 2 (eds: Bernardo, J.M.; DeGroot, M.H.; Lindleys, D.V. & Smith, A.F.M.)271-298  
    BibTeX:
    @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}
    }
    					
    Ameen, J.R.M. & Harrison, P.J. Discount Bayesian multi-process modelling with cusums 1985 Time Series Analysis: Theory and Practice 5 (eds: Anderson, O.D.)117-134  
    BibTeX:
    @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}
    }
    					
    Andrieu, C. & Doucet, A. On-line expectation-maximization type algorithms for parameter estimation in general state-space models 2003 Proceedings of the International Conference on Acoustics, Speech, and Signal Processing 69-72  
    BibTeX:
    @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}
    }
    					
    Andrieu, C.; Doucet, A. & Tadić, V. Online simulation-based methods for parameter estimation in non-linear non-Gaussian state-space models 2005 Proceedings of IEEE Conference on Decision and Control 332-337  
    BibTeX:
    @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}
    }
    					
    Banerjee, S.; Carlin, B.P. & Gelfand, A.E. Hierarchical Modeling and Analysis for Spatial Data 2004  
    BibTeX:
    @book{banerjeeetal,
      author = {S. Banerjee and B. P. Carlin and A. E. Gelfand},
      title = {Hierarchical Modeling and Analysis for Spatial Data},
      publisher = {Chapman and Hall},
      year = {2004}
    }
    					
    Barndorff-Nielsen, O.E. & Schou, G. On the reparameterization of autoregressive models by partial autocorrelations 1973 Journal of Multivariate Analysis
    3: 408-419  
    BibTeX:
    @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}
    }
    					
    Barnett, G.; Kohn, R. & Sheather, S. Bayesian estimation of an autoregressive model using Markov chain Monte Carlo 1996 Journal of Econometrics
    74: 237-254  
    BibTeX:
    @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}
    }
    					
    Barnett, G.; Kohn, R. & Sheather, S. Robust Bayesian estimation of autoregressive-moving-average models 1997 Journal of Time Series Analysis
    18: 11-28  
    BibTeX:
    @article{barnett:kohn:sheather:b,
      author = {G. Barnett and R. Kohn and S. Sheather},
      title = {Robust Bayesian estimation of autoregressive-moving-average models},
      journal = {Journal of Time Series Analysis},
      year = {1997},
      volume = {18},
      pages = {11-28}
    }
    					
    Beran, J. Statistics for Long Memory Processes 1994  
    BibTeX:
    @book{beran,
      author = {J. Beran},
      title = {Statistics for Long Memory Processes},
      publisher = {Chapman and Hall},
      year = {1994}
    }
    					
    Berzuini, C.; Best, N.; Gilks, W.R. & Larizza, C. Dynamic conditional independence models and Markov chain Monte Carlo methods 1997 Journal of the American Statistical Association
    92: 1403-1412  
    BibTeX:
    @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}
    }
    					
    Bielza, C.; Müller, P. & Ros-Insúa, D. Monte Carlo methods for decision analysis with applications to influence diagrams 1996 School: Institute of Statistics and Decision Sciences, Duke University  
    BibTeX:
    @techreport{bielza:1996,
      author = {C. Bielza and P. Müller and D. Ros-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}
    }
    					
    Bloomfield, P. Fourier Analysis of Time Series: An Introduction 2000  
    BibTeX:
    @book{bloomfield2000,
      author = {P. Bloomfield},
      title = {Fourier Analysis of Time Series: An Introduction},
      publisher = {John Wiley & Sons},
      year = {2000},
      edition = {2nd}
    }
    					
    Bollerslev, T.; Chou, R. & Kroner, K. ARCH modeling in finance 1992 Journal of Econometrics
    52: 5-59  
    BibTeX:
    @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}
    }
    					
    Bousquet, O. & Warmuth, M.K. Tracking a small set of experts by mixing past posteriors 2003 Journal of Machine Learning Research
    3: 363-396  
    BibTeX:
    @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}
    }
    					
    Box, G.E.P.; Jenkins, G.M. & Reinsel, G.C. Time Series Analysis: Forecasting and Control 2008  
    BibTeX:
    @book{box:jenkins:reinsel,
      author = {G. E. P. Box and G. M. Jenkins and G. C. Reinsel},
      title = {Time Series Analysis: Forecasting and Control},
      publisher = {John Wiley & Sons},
      year = {2008},
      edition = {Fourth}
    }
    					
    Box, G.E.P. & Tiao, G.C. Bayesian Inference in Statistical Analysis 1973  
    BibTeX:
    @book{boxtiao,
      author = {G. E. P. Box and G. C. Tiao},
      title = {Bayesian Inference in Statistical Analysis},
      publisher = {Addison-Wesley},
      year = {1973}
    }
    					
    Bretthorst, L.G. Bayesian Spectral Analysis and Parameter Estimation 1988  
    BibTeX:
    @book{bretthorst,
      author = {L. G. Bretthorst},
      title = {Bayesian Spectral Analysis and Parameter Estimation},
      publisher = {Springer-Verlag},
      year = {1988}
    }
    					
    Bretthorst, L.G. Bayesian analysis II. Signal detection and model selection 1990 Journal of Magnetic Resonance
    88: 552-570  
    BibTeX:
    @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}
    }
    					
    Bretthorst, L.G. Bayesian analysis III. Examples relevant to NMR 1990 Journal of Magnetic Resonance
    88: 571-595  
    BibTeX:
    @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}
    }
    					
    Brockwell, P.J. & Davis, R.A. Time series: Theory and Methods 1991  
    BibTeX:
    @book{brockwell:davis,
      author = {P. J. Brockwell and R. A. Davis},
      title = {Time series: Theory and Methods},
      publisher = {Springer-Verlag},
      year = {1991},
      edition = {2nd}
    }
    					
    Brockwell, P.J. & Davis, R.A. Introduction to Time Series and Forecasting 2002  
    BibTeX:
    @book{brockwell:davis2003,
      author = {P. J. Brockwell and R. A. Davis},
      title = {Introduction to Time Series and Forecasting},
      publisher = {Springer-Verlag},
      year = {2002},
      edition = {Second}
    }
    					
    Brooks, S. & Gelman, A. General methods for monitoring convergence of iterative simulations 1998 Journal of Computational and Graphical Statistics
    7: 434-55  
    BibTeX:
    @article{brooksgelman,
      author = {S. Brooks and A. Gelman},
      title = {General methods for monitoring convergence of iterative simulations},
      journal = {Journal of Computational and Graphical Statistics},
      year = {1998},
      volume = {7},
      pages = {434-55}
    }
    					
    Cappé, O.; Godsill, S. & Moulines, E. An overview of existing methods and recent advances in sequential Monte Carlo 2007 Proceedings of the IEEE
    95: 899-924  
    BibTeX:
    @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}
    }
    					
    Cappé, O.; Moulines, E. & Rydén, T. Inference in Hidden Markov Models 2005  
    BibTeX:
    @book{cappe:moulines:ryden,
      author = {O. Cappé and E. Moulines and T. Rydén},
      title = {Inference in Hidden Markov Models},
      publisher = {Springer-Verlag},
      year = {2005}
    }
    					
    Cargnoni, C.; Müller, P. & West, M. Bayesian forecasting of multinomial time series through conditionally Gaussian dynamic models 1997 Journal of the American Statistical Association
    92: 640-647  
    BibTeX:
    @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}
    }
    					
    Carlin, B.P.; Polson, N.G. & Stoffer, D.S. A Monte Carlo approach to nonnormal nonlinear state-space modelling 1992 Journal of the American Statistical Association
    87: 493-500  
    BibTeX:
    @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}
    }
    					
    Carter, C.K. & Kohn, R. Gibbs sampling for state space models 1994 Biometrika
    81: 541-553  
    BibTeX:
    @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}
    }
    					
    Carter, C.K. & Kohn, R. Semiparametric Bayesian inference for time series with mixed spectra 1997 Journal of the Royal Statistical Society, Series B
    59: 255-268  
    BibTeX:
    @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},
      year = {1997},
      volume = {59},
      pages = {255-268}
    }
    					
    Carvalho, C.M.; Johannes, M.S.; Lopes, H.F. & Polson, N.G. Particle learning and smoothing 2010 Statistical Science
    25: 88-106  
    BibTeX:
    @article{cjlp:2008,
      author = {Carvalho, C. M. and Johannes, M. S. and Lopes, H. F. and Polson, N. G.},
      title = {Particle learning and smoothing},
      journal = {Statistical Science},
      year = {2010},
      volume = {25},
      pages = {88-106}
    }
    					
    Carvalho, C.M. & Lopes, H.F. Simulation-based sequential analysis of Markov switching stochastic volatility models 2007 Computational Statistics and Data Analysis
    51: 4526-4542  
    BibTeX:
    @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}
    }
    					
    Carvalho, C.M.; Lucas, J.E.; Wang, Q.; Chang, J.; Nevins, J.R. & West, M. High-dimensional sparse factor modelling - Applications in gene expression genomics 2008 Journal of the American Statistical Association
    103: 1438-1456  
    BibTeX:
    @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}
    }
    					
    Carvalho, C.M. & West, M. Dynamic matrix-variate graphical models 2007 Bayesian Analysis
    2: 69-98  
    BibTeX:
    @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}
    }
    					
    Chan, N.H. & Petris, G. Long memory stochastic volatility: A Bayesian approach 2000 Communications in Statistics: Theory and Methods
    29: 1367-1378  
    BibTeX:
    @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}
    }
    					
    Chatfield, C. The Analysis of Time Series: An Introduction 1996  
    BibTeX:
    @book{chatfield,
      author = {C. Chatfield},
      title = {The Analysis of Time Series: An Introduction},
      publisher = {Chapman and Hall},
      year = {1996},
      edition = {Fifth}
    }
    					
    Chen, Y. Bayesian Time Series: Financial Models and Spectral Analysis 1997  
    BibTeX:
    @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}
    }
    					
    Chib, S. & Greenberg, E. Bayes inference in regression models with ARMA(p,q) errors 1994 Journal of Econometrics
    64: 183-206  
    BibTeX:
    @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}
    }
    					
    Chib, S. & Greenberg, E. Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models 1995 Journal of Econometrics
    68: 339-360  
    BibTeX:
    @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},
      journal = {Journal of Econometrics},
      year = {1995},
      volume = {68},
      pages = {339-360}
    }
    					
    Chib, S.; Nadari, F. & Shephard, N. Markov chain Monte Carlo methods for stochastic volatility models 2002 Journal of Econometrics
    108: 281-316  
    BibTeX:
    @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}
    }
    					
    Chib, S.; Nadari, F. & Shephard, N. Analysis of high dimensional multivariate stochastic volatility models 2005 Journal of Econometrics
    134: 341-371  
    BibTeX:
    @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}
    }
    					
    Chib, S.; Omori, Y. & Asai, M. Multivariate stochastic volatility 2009 Handbook of Financial Time Series (eds: Andersen, T.G.; Davis, R.A.; Kreiss, J.P. & Mikosch, T.)365-400  
    BibTeX:
    @inproceedings{chib:omori:asai:2009,
      author = {S. Chib and Y. Omori and M. Asai},
      title = {Multivariate stochastic volatility},
      booktitle = {Handbook of Financial Time Series},
      publisher = {Springer-Verlag},
      year = {2009},
      pages = {365-400}
    }
    					
    Choudhuri, N.; Ghosal, S. & Roy, A. Bayesian estimation of the spectral density of a time series 2004 Journal of the American Statistical Association
    99: 1050-1059  
    BibTeX:
    @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}
    }
    					
    Cleveland, W. Robust locally weighted regression and smoothing scatterplots 1979 Journal of the American Statistical Association
    74: 829-836  
    BibTeX:
    @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}
    }
    					
    Cleveland, W.S. & Devlin, S.J. Locally weighted regression: An approach to regression analysis by local fitting 1988 Journal of the American Statistical Association
    83: 596-610  
    BibTeX:
    @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}
    }
    					
    Daniels, M.J. & Pourahmadi, M. Bayesian analysis of covariance matrices and dynamic models for longitudinal data 2002 Biometrika
    89: 553-566  
    BibTeX:
    @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}
    }
    					
    Dawid, A.P. Some matrix-variate distribution theory: Notational considerations and Bayesian application 1981 Biometrika
    68: 265-274  
    BibTeX:
    @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}
    }
    					
    Dawid, A.P. & Lauritzen, S.L. Hyper-Markov laws in the statistical analysis of decomposable graphical models 1993 The Annals of Statistics
    3: 1272-1317  
    BibTeX:
    @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}
    }
    					
    Del Moral, P.; Doucet, A. & Jasra, A. Sequential Monte Carlo samplers 2006 Journal of the Royal Statistical Society, Series B
    68: 411-436  
    BibTeX:
    @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},
      year = {2006},
      volume = {68},
      pages = {411-436}
    }
    					
    Del Moral, P.; Jasra, A. & Doucet, A. Sequential Monte Carlo for Bayesian computation (with discussion) 2007 Bayesian Statistics 8 (eds: Bernardo, J.M.; Bayarri, M.J.; Berger, J.O.; David, A.P.; Heckerman, D.; Smith, A.F.M. & West, M.)  
    BibTeX:
    @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}
    }
    					
    Dempster, A.P.; Laird, N.M. & Rubin, D.B. Maximum likelihood from incomplete data via EM algorithm 1977 Journal of the Royal Statistical Society, Series B
    39: 1-18  
    BibTeX:
    @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},
      year = {1977},
      volume = {39},
      pages = {1-18}
    }
    					
    Diggle, P. Time Series: A Biostatistical Introduction 1990  
    BibTeX:
    @book{diggle,
      author = {P. Diggle},
      title = {Time Series: A Biostatistical Introduction},
      publisher = {Oxford University Press},
      year = {1990}
    }
    					
    Doan, T.; Litterman, R. & Sims, C.A. Forecasting and conditional projection using realistic prior distributions 1984 Econometric Reviews
    3: 1-100  
    BibTeX:
    @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}
    }
    					
    Doucet, A.; de Freitas, N. & Gordon, N.J. Sequential Monte Carlo Methods in Practice 2001  
    BibTeX:
    @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}
    }
    					
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    10: 197-208  
    BibTeX:
    @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}
    }
    					
    Doucet, A.; Godsill, S.J. & West, M. Monte Carlo filtering and smoothing with application to time-varying spectral estimation 2000 Proceedings of the IEEE International Conference on Acoustics, Speech and Signal Processing 701-704  
    BibTeX:
    @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}
    }
    					
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    22: 139-153  
    BibTeX:
    @article{durbin,
      author = {J. Durbin},
      title = {Estimation of parameters in time series regression models},
      journal = {Journal of the Royal Statistical Society, Series B},
      year = {1960},
      volume = {22},
      pages = {139-153}
    }
    					
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    BibTeX:
    @book{durbin:koopman,
      author = {J. Durbin and S. J. Koopman},
      title = {Time Series Analysis by State Space Methods},
      publisher = {Oxford University Press},
      year = {2001}
    }
    					
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    69: 959-993  
    BibTeX:
    @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}
    }
    					
    Engle, R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation 1982 Econometrica
    50: 987-1007  
    BibTeX:
    @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}
    }
    					
    Fan, J. & Yao, Q. Nonlinear Time Series Analysis 2003  
    BibTeX:
    @book{fanyao,
      author = {J. Fan and Q. Yao},
      title = {Nonlinear Time Series Analysis},
      publisher = {Springer-Verlag},
      year = {2003}
    }
    					
    Fearnhead, P. MCMC, sufficient statistics and particle filters 2002 Journal of Computational and Graphical Statistics
    11: 848-862  
    BibTeX:
    @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}
    }
    					
    Fox, E.B.; Sudderth, E.B.; Jordan, M.I. & Willsky, A.S. Bayesian nonparametric inference of switching dynamic linear models 2011 IEEE Transactions on Signal Processing
    59: 1569-1585  
    BibTeX:
    @article{Fox:NIPS08,
      author = {E. B. Fox and E. B. Sudderth and M. I. Jordan and A. S. Willsky},
      title = {Bayesian nonparametric inference of switching dynamic linear models},
      journal = {IEEE Transactions on Signal Processing},
      year = {2011},
      volume = {59},
      pages = {1569-1585},
      doi = {http://doi.org/10.1109/TSP.2010.2102756}
    }
    					
    Fox, E.B.; Sudderth, E.B.; Jordan, M.I. & Willsky, A.S. Nonparametric Bayesian identification of jump systems with sparse dependencies 2009 Proc. 15th IFAC Symposium on System Identification  
    BibTeX:
    @inproceedings{Fox:NIPS09,
      author = {E. B. Fox and E. B. Sudderth and M. I. Jordan and A. S. Willsky},
      title = {Nonparametric Bayesian identification of jump systems with sparse dependencies},
      booktitle = {Proc. 15th IFAC Symposium on System Identification},
      year = {2009}
    }
    					
    Frühwirth-Schnatter, S. Data augmentation and dynamic linear models 1994 Journal of Time Series Analysis
    15: 183-202  
    BibTeX:
    @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}
    }
    					
    Frühwirth-Schnatter, S. Markov chain Monte Carlo estimation of classical and dynamic switching and mixture models 2001 Journal of the American Statistical Association
    96: 194-209  
    BibTeX:
    @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}
    }
    					
    Frühwirth-Schnatter, S. Finite mixture and Markov switching models 2006  
    BibTeX:
    @book{sylvia_book,
      author = {S. Frühwirth-Schnatter},
      title = {Finite mixture and Markov switching models},
      publisher = {Springer-Verlag},
      year = {2006}
    }
    					
    Gamerman, D. Markov chain Monte Carlo for dynamic generalised linear models 1998 Biometrika
    85: 215-227  
    BibTeX:
    @article{gamerman98,
      author = {D. Gamerman},
      title = {Markov chain Monte Carlo for dynamic generalised linear models},
      journal = {Biometrika},
      year = {1998},
      volume = {85},
      pages = {215-227}
    }
    					
    Gamerman, D. & Lopes, H.F. Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference 2006  
    BibTeX:
    @book{dani,
      author = {D. Gamerman and H. F. Lopes},
      title = {Markov Chain Monte Carlo: Stochastic Simulation for Bayesian Inference},
      publisher = {Chapman & Hall},
      year = {2006},
      edition = {2nd}
    }
    					
    Gamerman, D. & Migon, H.S. Dynamic hierarchical models 1993 Journal of the Royal Statistical Society, Series B
    55: 629-642  
    BibTeX:
    @article{gamerman:migon:93,
      author = {D. Gamerman and H. S. Migon},
      title = {Dynamic hierarchical models},
      journal = {Journal of the Royal Statistical Society, Series B},
      year = {1993},
      volume = {55},
      pages = {629-642}
    }
    					
    Gao, B.; Ombao, H. & Ho, M. Chapter 4, Cluster analysis for non-stationary time series 2009 Statistical Methods for Modeling Human Dynamics: An Interdisciplinary Dialogue (eds: Chow, S.; Ferrer, E. & Hsieh, F.)85-122  
    BibTeX:
    @incollection{gao:ombao:ho,
      author = {B. Gao and H. Ombao and M.R. Ho},
      title = {Cluster analysis for non-stationary time series},
      booktitle = {Statistical Methods for Modeling Human Dynamics: An Interdisciplinary Dialogue},
      publisher = {Psychology Press, Taylor and Francis Group},
      year = {2009},
      pages = {85-122}
    }
    					
    Gelman, A.; Carlin, J.B.; Stern, H.S. & Rubin, D.B. Bayesian Data Analysis 2004  
    BibTeX:
    @book{gelmanetal,
      author = {A. Gelman and J. B. Carlin and H. S. Stern and D. B. Rubin},
      title = {Bayesian Data Analysis},
      publisher = {Chapman & Hall/CRC Press},
      year = {2004},
      edition = {2nd}
    }
    					
    Gelman, A. & Rubin, D.B. Inference from iterative simulation using multiple sequences 1992 Statistical Science
    7: 457-472  
    BibTeX:
    @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}
    }
    					
    Geman, S. & Geman, D. Stochastic relaxation, Gibbs distributions and the Bayesian restoration of images 1984 IEEE Transactions on Pattern Analysis and Machine Intelligence
    6: 721-741  
    BibTeX:
    @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}
    }
    					
    Geweke, J.F. Evaluating the accuracy of sampling-based approaches to calculating posterior moments 1992 Bayesian Statistics 4 (eds: Bernardo, J.M.; Berger, J.O.; Dawid, A.P. & Smith, A.F.M.)169-194  
    BibTeX:
    @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}
    }
    					
    Geweke, J.F. & Porter-Hudak, S. The estimation and application of long memory time series models 1983 Journal of Time Series Analysis
    4: 221-238  
    BibTeX:
    @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}
    }
    					
    Geweke, J.F. & Singleton, K.J. Latent variable models for time series: A frequency domain approach to the Permanent Income Hypothesis 1981 Journal of Econometrics
    17: 287-304  
    BibTeX:
    @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}
    }
    					
    Geweke, J.F. & Zhou, G. Measuring the pricing error of the arbitrage pricing theory 1996 Review of Financial Studies
    9: 557-587  
    BibTeX:
    @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}
    }
    					
    Giudici, P. Learning in graphical Gaussian models 1996 Bayesian Statistics 5 (eds: Bernado, J.M.; Berger, J.O.; Dawid, A.P. & Smith, A.F.M.)621-628  
    BibTeX:
    @incollection{Giudici96,
      author = {P. Giudici},
      title = {Learning in graphical Gaussian models},
      booktitle = {Bayesian Statistics 5},
      publisher = {Oxford University Press},
      year = {1996},
      pages = {621-628}
    }
    					
    Giudici, P. & Green, P.J. Decomposable graphical Gaussian model determination 1999 Biometrika
    86: 785-801  
    BibTeX:
    @article{GiudiciGreen99Biom,
      author = {P. Giudici and P. J. Green},
      title = {Decomposable graphical Gaussian model determination},
      journal = {Biometrika},
      year = {1999},
      volume = {86},
      pages = {785-801}
    }
    					
    Godsill, S.J. Bayesian enhancement of speech and audio signals which can be modelled as ARMA processes 1997 International Statistical Review
    65: 1-21  
    BibTeX:
    @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}
    }
    					
    Godsill, S.J.; Doucet, A. & West, M. Monte Carlo smoothing for non-linear time series 2004 Journal of the American Statistical Association
    99: 156-168  
    BibTeX:
    @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}
    }
    					
    Godsill, S.J. & Rayner, P.J.W. Digital Audio Restoration: A Statistical Model-Based Approach 1998  
    BibTeX:
    @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}
    }
    					
    Gordon, N.J.; Salmond, D. & Smith, A.F.M. Novel approach to nonlinear/non-Gaussian Bayesian state estimation 1993 IEEE Proceedings F, Radar and Signal Processing
    140: 107-113  
    BibTeX:
    @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}
    }
    					
    Granger, C.W. & Joyeux, R. An introduction to long-memory time series models and fractional differencing 1980 Journal of Time Series Analysis
    4: 221-238  
    BibTeX:
    @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}
    }
    					
    Green, M. & Harrison, P.J. Fashion forecasting for a mail order company 1973 Operational Research Quarterly
    24: 193-205  
    BibTeX:
    @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}
    }
    					
    Green, P.J. Reversible jump Markov chain Monte Carlo computation and Bayesian model determination 1995 Biometrika
    82: 711-732  
    BibTeX:
    @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}
    }
    					
    Greenberg, E. Introduction to Bayesian Econometrics 2008  
    BibTeX:
    @book{greenberg,
      author = {E. Greenberg},
      title = {Introduction to Bayesian Econometrics},
      publisher = {Cambridge University Press},
      year = {2008}
    }
    					
    Hürzeler, M. & Künsch, H. Approximating and maximizing the likelihood for general SSM 2001 Sequential Monte Carlo Methods in Practice (eds: Doucet, A.; de Freitas, N. & Gordon, N.J.)159-175  
    BibTeX:
    @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}
    }
    					
    Hamilton, J.D. Time Series Analysis 1994  
    BibTeX:
    @book{hamilton94,
      author = {J. D. Hamilton},
      title = {Time Series Analysis},
      publisher = {Princeton University Press},
      year = {1994}
    }
    					
    Harrison, P.J. & Stevens, C. A Bayesian approach to short-term forecasting 1971 Operational Research Quarterly
    22: 342-362  
    BibTeX:
    @article{harrison:stevens:71,
      author = {P. J. Harrison and C. Stevens},
      title = {A Bayesian approach to short-term forecasting},
      journal = {Operational Research Quarterly},
      year = {1971},
      volume = {22},
      pages = {342-362}
    }
    					
    Harrison, P.J. & Stevens, C. Bayesian forecasting (with discussion) 1976 Journal of the Royal Statististical Society, Series B
    38: 205-247  
    BibTeX:
    @article{harrison:stevens:76,
      author = {P. J. Harrison and C. Stevens},
      title = {Bayesian forecasting (with discussion)},
      journal = {Journal of the Royal Statististical Society, Series B},
      year = {1976},
      volume = {38},
      pages = {205-247}
    }
    					
    Harrison, P.J. & West, M. Practical Bayesian forecasting 1987 The Statistician
    36: 115-125  
    BibTeX:
    @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}
    }
    					
    Harvey, A.C. Time Series Models 1981  
    BibTeX:
    @book{harvey:81,
      author = {A. C. Harvey},
      title = {Time Series Models},
      publisher = {Philip Allan},
      year = {1981}
    }
    					
    Harvey, A.C. Forecasting, Structural Time Series Models and the Kalman Filter 1991  
    BibTeX:
    @book{harvey:91,
      author = {A. C. Harvey},
      title = {Forecasting, Structural Time Series Models and the Kalman Filter},
      publisher = {Cambridge University Press},
      year = {1991}
    }
    					
    Harvey, A.C.; Ruiz, E. & Shephard, N. Multivariate stochastic variance models 1994 Review of Economic Studies
    61: 247-264  
    BibTeX:
    @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}
    }
    					
    Hastings, W.K. Monte Carlo sampling methods using Markov chains and its applications 1970 Biometrika
    57: 97-109  
    BibTeX:
    @article{hastings,
      author = {W. K. Hastings},
      title = {Monte Carlo sampling methods using Markov chains and its applications},
      journal = {Biometrika},
      year = {1970},
      volume = {57},
      pages = {97-109}
    }
    					
    Heidelberger, P. & Welch, P. Simulation run length control in the presence of an initial transient 1983 Operations Research
    31: 1109-1144  
    BibTeX:
    @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}
    }
    					
    Hillmer, S.C. & Tiao, G.C. Likelihood function of stationary multiple autoregressive moving average processes 1979 Journal of the American Statistical Association
    74: 652-660  
    BibTeX:
    @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}
    }
    					
    Hosking, J.R.M. Fractional differencing 1981 Biometrika
    68: 165-176  
    BibTeX:
    @article{hosking,
      author = {J. R. M. Hosking},
      title = {Fractional differencing},
      journal = {Biometrika},
      year = {1981},
      volume = {68},
      pages = {165-176}
    }
    					
    Huan, H-Y.; Ombao, H. & Stoffer, D.S. Classification and discrimination of non-stationary time series using the SLEX model 2004 Journal of the American Statistical Association
    99: 763-774  
    BibTeX:
    @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}
    }
    					
    Huerta, G. Bayesian Analysis of Latent Structure in Time Series Models 1998  
    BibTeX:
    @phdthesis{huerta:98,
      author = {G. Huerta},
      title = {Bayesian Analysis of Latent Structure in Time Series Models},
      publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
      year = {1998}
    }
    					
    Huerta, G.; Jiang, W. & Tanner, M.A. Mixtures of time series models (with discussion) 2001 Journal of Computational and Graphical Statistics
    10: 82-89  
    BibTeX:
    @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}
    }
    					
    Huerta, G.; Jiang, W. & Tanner, M.A. Time series modeling via hierarchical mixtures 2003 Statistica Sinica
    23: 1097-1118  
    BibTeX:
    @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}
    }
    					
    Huerta, G.; Jiang, W. & Tanner, M.A. A comment on the art of Data Augmentation 2001 Journal of Computational and Graphical Statistics
    10: 82-89  
    BibTeX:
    @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}
    }
    					
    Huerta, G. & Prado, R. Exploring common structure in multiple time series viastructured priors for autoregressive processes 2002 School: Department of Applied Mathematics and Statistics, University of Califronia at Santa Cruz; and Department of Mathematics and Statistics, University of New Mexico  
    BibTeX:
    @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}
    }
    					
    Huerta, G. & Prado, R. Structured priors for multivariate time series 2006 Journal of Statistical Planning and Inference
    136: 3802-3821  
    BibTeX:
    @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}
    }
    					
    Huerta, G.; Sansó, B. & Stroud, J.R. A spatio-temporal model for Mexico City ozone levels 2004 Journal of the Royal Statistical Society, Series C
    53: 231-248  
    BibTeX:
    @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},
      year = {2004},
      volume = {53},
      pages = {231-248}
    }
    					
    Huerta, G. & West, M. Priors and component structures in autoregressive time series models 1999 Journal of the Royal Statistical Society, Series B
    61: 881-899  
    BibTeX:
    @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},
      year = {1999},
      volume = {61},
      pages = {881-899}
    }
    					
    Huerta, G. & West, M. Bayesian inference on periodicities and component spectral structure in time series 1999 Journal of Time Series Analysis
    20: 401-416  
    BibTeX:
    @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}
    }
    					
    Hurst, H. Long term storage capacity of reservoirs 1951 Transactions of the American Society of Civil Engineers
    116: 778-808  
    BibTeX:
    @article{hurst,
      author = {H. Hurst},
      title = {Long term storage capacity of reservoirs},
      journal = {Transactions of the American Society of Civil Engineers},
      year = {1951},
      volume = {116},
      pages = {778-808}
    }
    					
    Ito, K. & Xiong, K. Gaussian filters for nonlinear filtering problems 2000 IEEE Transactions on Automatic Control
    45: 910-927  
    BibTeX:
    @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}
    }
    					
    Jacquier, E.; Polson, N.G. & Rossi, P.E. Bayesian analysis of stochastic volatility models 1994 Journal of Business and Economic Statistics
    12: 371-389  
    BibTeX:
    @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}
    }
    					
    Jacquier, E.; Polson, N.G. & Rossi, P.E. Models and priors for multivariate stochastic volatility 1995 School: Graduate School of Business, University of Chicago  
    BibTeX:
    @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}
    }
    					
    Jazwinski, A. Stochastic Processes and Filtering Theory 1970  
    BibTeX:
    @book{jazwinski,
      author = {A. Jazwinski},
      title = {Stochastic Processes and Filtering Theory},
      publisher = {Academic Press},
      year = {1970}
    }
    					
    Jeffreys, H.S. Theory of Probability 1961  
    BibTeX:
    @book{jeffreys,
      author = {H. S. Jeffreys},
      title = {Theory of Probability},
      publisher = {Clarendon Press},
      year = {1961},
      edition = {3rd},
      note = {1st edition, 1939}
    }
    					
    Johannes, M. & Polson, N.G. Exact particle filtering and learning 2008 School: Graduate School of Business, University of Chicago  
    BibTeX:
    @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}
    }
    					
    Jones, B.; Dobra, A.; Carvalho, C.M.; Hans, C.; Carter, C. & West, M. Experiments in stochastic computation for high-dimensional graphical models 2005 Statistical Science
    20: 388-400  
    BibTeX:
    @article{Jones2005a,
      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}
    }
    					
    Jones, B. & West, M. Covariance decomposition in undirected Gaussian graphical models 2005 Biometrika
    92: 779-786  
    BibTeX:
    @article{Jones2005,
      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}
    }
    					
    Jordan, M.I. & Jacobs, R.A. Hierarchical mixtures of experts and the EM algorithm 1994 Neural Computation
    6: 181-214  
    BibTeX:
    @article{jord:jac,
      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}
    }
    					
    Juang, B.H. & Rabiner, L.R. Mixture autoregressive hidden Markov models for speech signals 1985 IEEE Transactions on Acoustics, Speech, and Signal Processing
    33: 1404-1413  
    BibTeX:
    @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}
    }
    					
    Julier, S.J. & Uhlmann, J.K. A new extension of the Kalman filter to nonlinear systems 1997 AeroSense: The 11th International Symposium on Aerospace/Defense Sensing, Simulation and Control 182-193  
    BibTeX:
    @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}
    }
    					
    Kakizawa, Y.; Shumway, R.H. & Taniguchi, M. Discrimination and clustering for multivariate time series 1998 Journal of the American Statistical Association
    93: 328-340  
    BibTeX:
    @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}
    }
    					
    Kalman, R.E. A new approach to linear filtering and prediction problems 1960 Journal of Basic Engineering
    82: 35-45  
    BibTeX:
    @article{kalman,
      author = {R. E. Kalman},
      title = {A new approach to linear filtering and prediction problems},
      journal = {Journal of Basic Engineering},
      year = {1960},
      volume = {82},
      pages = {35-45}
    }
    					
    Kendall, M.G. & Ord, J.K. Time Series 1990  
    BibTeX:
    @book{kendall:ord,
      author = {M. G. Kendall and J. K. Ord},
      title = {Time Series},
      publisher = {Edward Arnold},
      year = {1990},
      edition = {3rd}
    }
    					
    Kendall, M.G.; Stuart, A. & Ord, J.K. The Advanced Theory of Statistics 1983
    3:  
    BibTeX:
    @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}
    }
    					
    Kim, S.; Shephard, N. & Chib, S. Stochastic volatility: Likelihood inference and comparison with ARCH models 1998 Review of Economic Studies
    65: 361-393  
    BibTeX:
    @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}
    }
    					
    Kitagawa, G. Monte Carlo filter and smoother for non-Gaussian nonlinear state space models 1996 Journal of Computational and Graphical Statistics
    5: 1-25  
    BibTeX:
    @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}
    }
    					
    Kitagawa, G. & Gersch, W. A smoothness priors time varying AR coefficient modeling of non-stationary time series 1985 IEEE Transactions on Automatic Control
    30: 48-56  
    BibTeX:
    @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}
    }
    					
    Kitagawa, G. & Gersch, W. Smoothness Priors Analysis of Time Series 1996  
    BibTeX:
    @book{kita:gersch:96,
      author = {G. Kitagawa and W. Gersch},
      title = {Smoothness Priors Analysis of Time Series},
      publisher = {Springer-Verlag},
      year = {1996}
    }
    					
    Kivinen, J. & Warmuth, M.K. Averaging expert predictions 1999 EUROCOLT 99 153-167  
    BibTeX:
    @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}
    }
    					
    Kohn, R. & Ansley, C.F. Efficient estimation and prediction in time series regression models 1985 Biometrika
    72: 694-697  
    BibTeX:
    @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}
    }
    					
    Kong, A.; Liu, J.S. & Wong, W.H. Sequential imputations and Bayesian missing data problems 1994 Journal of the American Statistical Association
    89: 278-288  
    BibTeX:
    @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}
    }
    					
    Krolzig, H.M. Markov-Switching Vector Autoregressions 1997  
    BibTeX:
    @book{krolzig_97,
      author = {H. M. Krolzig},
      title = {Markov-Switching Vector Autoregressions},
      publisher = {Springer-Verlag},
      year = {1997}
    }
    					
    Krystal, A.D.; Prado, R. & West, M. New methods of time series analysis of non-stationary EEG data: Eigenstructure decompositions of time-varying autoregressions 1999 Clinical Neurophysiology
    110: 2197-2206  
    BibTeX:
    @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}
    }
    					
    Lütkepohl, H. New Introduction to Multiple Time Series Analysis 2005  
    BibTeX:
    @book{lut:93,
      author = {H. Lütkepohl},
      title = {New Introduction to Multiple Time Series Analysis},
      publisher = {Springer-Verlag},
      year = {2005}
    }
    					
    Lauritzen, S.L. Graphical Models 1996  
    BibTeX:
    @book{lauritzen96,
      author = {Lauritzen, S. L.},
      title = {Graphical Models},
      publisher = {Clarendon Press},
      year = {1996}
    }
    					
    Lemos, R. & Sansó, B. A spatio-temporal model for mean, anomaly, and trend fields of North Atlantic sea surface temperature (with discussion) 2009 Journal of the American Statistical Association
    104: 5-18  
    BibTeX:
    @article{lemos:sanso,
      author = {R. Lemos and B. Sansó},
      title = {A spatio-temporal model for mean, anomaly, and trend fields of North Atlantic sea surface temperature (with discussion)},
      journal = {Journal of the American Statistical Association},
      year = {2009},
      volume = {104},
      pages = {5-18}
    }
    					
    Levinson, N. The Wiener (root mean square) error criterion in filter and design prediction 1947 Journal of Mathematical Physics
    25: 262-278  
    BibTeX:
    @article{levinson,
      author = {N. Levinson},
      title = {The Wiener (root mean square) error criterion in filter and design prediction},
      journal = {Journal of Mathematical Physics},
      year = {1947},
      volume = {25},
      pages = {262-278}
    }
    					
    Lindley, D.V. & Smith, A.F.M. Bayes estimates for the linear model (with discussion) 1972 Journal of the Royal Statistical Society, Series B
    34: 1-41  
    BibTeX:
    @article{lindley:smith:72,
      author = {D. V. Lindley and A. F. M. Smith},
      title = {Bayes estimates for the linear model (with discussion)},
      journal = {Journal of the Royal Statistical Society, Series B},
      year = {1972},
      volume = {34},
      pages = {1-41}
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    Liseo, B.; Marinucci, D. & Petrella, L. Bayesian semiparametric inference on long-range dependence 2001 Biometrika
    88: 1089-1104  
    BibTeX:
    @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}
    }
    					
    Litterman, R. Techniques for forecasting using vector autoregressions 1979 School: Federal Reserve Bank of Minneapolis  
    BibTeX:
    @techreport{litterman,
      author = {R. Litterman},
      title = {Techniques for forecasting using vector autoregressions},
      school = {Federal Reserve Bank of Minneapolis},
      year = {1979},
      number = {115}
    }
    					
    Liu, F. & West, M. A dynamic modelling strategy for Bayesian computer model emulation 2009 Bayesian Analysis
    4: 393-412  
    BibTeX:
    @article{Liu.BA.2009,
      author = {F. Liu and M. West},
      title = {A dynamic modelling strategy for Bayesian computer model emulation},
      journal = {Bayesian Analysis},
      year = {2009},
      volume = {4},
      pages = {393-412}
    }
    					
    Liu, J. Bayesian Time Series: Analysis Methods Using Simulation-based Computation 2000  
    BibTeX:
    @phdthesis{jane:thesis,
      author = {J. Liu},
      title = {Bayesian Time Series: Analysis Methods Using Simulation-based Computation},
      publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
      year = {2000}
    }
    					
    Liu, J. & West, M. Combined parameter and state estimation in simulation-based filtering 2001 Sequential Monte Carlo Methods in Practice (eds: Doucet, A.; de Freitas, N. & Gordon, N.J.)197-217  
    BibTeX:
    @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}
    }
    					
    Liu, J.S. Metropolized independent sampling with comparisons to rejection sampling and importance sampling 1996 Statistical Computing
    6: 113-119  
    BibTeX:
    @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}
    }
    					
    Liu, J.S. & Chen, R. Blind deconvolution via sequential imputation 1995 Journal of the American Statistical Association
    90: 567-576  
    BibTeX:
    @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}
    }
    					
    Liu, J.S. & Chen, R. Sequential Monte Carlo methods for dynamic systems 1998 Journal of the American Statistical Association
    93: 1032-1044  
    BibTeX:
    @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}
    }
    					
    Liu, J.S. & Chen, R. Mixture Kalman filters 2000 Journal of the Royal Statistical Society, Series B
    62: 493-508  
    BibTeX:
    @article{liu:chen:2000,
      author = {J. S. Liu and R. Chen},
      title = {Mixture Kalman filters},
      journal = {Journal of the Royal Statistical Society, Series B},
      year = {2000},
      volume = {62},
      pages = {493-508}
    }
    					
    Lopes, H.F. Bayesian Analysis in Latent Factor and Longitudinal Models 2000  
    BibTeX:
    @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}
    }
    					
    Lopes, H.F. Factor stochastic volatility with time varying loadings 2007 Estadistica
    57: 75-91  
    BibTeX:
    @article{Lopes2007,
      author = {H. F. Lopes},
      title = {Factor stochastic volatility with time varying loadings},
      journal = {Estadistica},
      year = {2007},
      volume = {57},
      pages = {75-91}
    }
    					
    Lopes, H.F. & Carvalho, C.M. Factor stochastic volatility with time varying loadings and Markov switching regimes 2007 Journal of Statistical Planning and Inference
    137: 3082-3091  
    BibTeX:
    @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}
    }
    					
    Lopes, H.F.; Salazar, E. & Gamerman, D. Spatial dynamic factor analysis 2008 Bayesian Analysis
    3: 1-34  
    BibTeX:
    @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}
    }
    					
    Lopes, H.F. & West, M. Bayesian model assessment in factor analysis 2004 Statistica Sinica
    14: 41-67  
    BibTeX:
    @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}
    }
    					
    Makridadis, S. & Wheelwright, S.C. Forecasting Methods and Applications 1978  
    BibTeX:
    @book{mak:wheel,
      author = {S. Makridadis and S. C. Wheelwright},
      title = {Forecasting Methods and Applications},
      publisher = {John Wiley & Sons},
      year = {1978}
    }
    					
    Mandelbrot, B.B. & van Ness, J.V. Fractional Brownian motions, fractional noises and applications 1968 SIAM Review
    10: 422-437  
    BibTeX:
    @article{mandelbrot68a,
      author = {B. B. Mandelbrot and J. V. van Ness},
      title = {Fractional Brownian motions, fractional noises and applications},
      journal = {SIAM Review},
      year = {1968},
      volume = {10},
      pages = {422-437}
    }
    					
    Mandelbrot, B.B. & Wallis, J.R. Noah, Joseph and operational hydrology 1968 Water Resources Research
    4: 909-918  
    BibTeX:
    @article{mandelbrot68b,
      author = {B. B. Mandelbrot and J. R. Wallis},
      title = {Noah, Joseph and operational hydrology},
      journal = {Water Resources Research},
      year = {1968},
      volume = {4},
      pages = {909-918}
    }
    					
    Markowitz, H.M. Portfolio Selection: Efficient Diversification of Investments 1959  
    BibTeX:
    @book{Markowitz59,
      author = {H. M. Markowitz},
      title = {Portfolio Selection: Efficient Diversification of Investments},
      publisher = {John Wiley & Sons},
      year = {1959}
    }
    					
    Marriott, J.M.; Ravishanker, N.; Gelfand, A.E. & Pai, J. Bayesian analysis of ARMA processes: Complete sampling-based inference under exact likelihoods 1996 Bayesian Analysis in Statistics and Econometrics: Essays in Honor of Arnold Zellner (eds: Berry, D.A.; Chaloner, K.M. & Geweke, J.F.)243-256  
    BibTeX:
    @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}
    }
    					
    Marriott, J.M. & Smith, A.F.M. Reparametrization aspects of numerical Bayesian methodology for autoregressive moving-average models 1992 Journal of Time Series Analysis
    13: 327-343  
    BibTeX:
    @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}
    }
    					
    McCoy, E.J. & Stephens, D.A. Bayesian time series analysis of periodic behaviour and spectral structure 2004 International Journal of Forecasting
    20: 713-730  
    BibTeX:
    @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}
    }
    					
    McCulloch, R.E. & Tsay, R.S. Bayesian inference of trend- and difference-stationarity 1994 Economic Theory
    10: 596-608  
    BibTeX:
    @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}
    }
    					
    Metropolis, N.; Rosenbluth, A.W.; Rosenbluth, M.N.; Teller, A.H. & Teller, E. Equations of state calculations by fast computing machines 1953 Journal of Chemical Physics
    21: 1087-1091  
    BibTeX:
    @article{metropolis,
      author = {N. Metropolis and A. W. Rosenbluth and M. N. Rosenbluth and A. H. Teller and E. Teller},
      title = {Equations of state calculations by fast computing machines},
      journal = {Journal of Chemical Physics},
      year = {1953},
      volume = {21},
      pages = {1087-1091}
    }
    					
    Migon, H.S.; Gamerman, D.; Lopes, H.F. & Ferreira, M.A.R. Dynamic models 2005
    25:Bayesian Thinking, Modeling and Computation (eds: Dey, D. & Rao, C.R.)553-588  
    BibTeX:
    @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},
      volume = {25},
      pages = {553-588}
    }
    					
    Mitra, S.K. A density-free approach to the matrix variate beta distribution 1970 Sankhyã A
    32: 81-88  
    BibTeX:
    @article{mitra:1970,
      author = {S. K. Mitra},
      title = {A density-free approach to the matrix variate beta distribution},
      journal = {Sankhyã A},
      year = {1970},
      volume = {32},
      pages = {81-88}
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    Molenaar, P.C.M.; de Gooijer, J.G. & Schmitz, B. Dynamic factor analysis of nonstationary multivariate time series 1992 Psychometrika
    57: 333-349  
    BibTeX:
    @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}
    }
    					
    Monahan, J.F. Fully Bayesian Analysis of ARMA time series models 1983 Journal of Econometrics
    21: 307-331  
    BibTeX:
    @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}
    }
    					
    Monahan, J.F. A note on enforcing stationarity in autoregressive moving average models 1984 Biometrika
    71: 403-404  
    BibTeX:
    @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}
    }
    					
    Morton, A.S. & Tunnicliffe Wilson, G. Extracting economic cycles using modified autoregressions 2001 The Manchester School
    69: 574-585  
    BibTeX:
    @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}
    }
    					
    Niemi, J.B. & West, M. Adaptive mixture modelling Metropolis methods for Bayesian analysis of non-linear state-space models 2010 Journal of Computational and Graphical Statistics
    19: 260-280  
    BibTeX:
    @article{niemi:west:09,
      author = {J. B. Niemi and M. West},
      title = {Adaptive mixture modelling Metropolis methods for Bayesian analysis of non-linear state-space models},
      journal = {Journal of Computational and Graphical Statistics},
      year = {2010},
      volume = {19},
      pages = {260-280},
      note = {PMC2887612},
      url = {http://ftp.stat.duke.edu/WorkingPapers/08-21.html},
      doi = {http://doi.org/10.1198/jcgs.2010.08117}
    }
    					
    Odell, P. & Feiveson, A. A numerical procedure to generate a sample covariance matrix 1966 Journal of the American Statistical Association
    61: 199-203  
    BibTeX:
    @article{odell:feiveson:1966,
      author = {P. Odell and A. Feiveson},
      title = {A numerical procedure to generate a sample covariance matrix},
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      year = {1966},
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    }
    					
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    96: 543-560  
    BibTeX:
    @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}
    }
    					
    Ombao, H.; von Sachs, R. & Guo, W. SLEX analysis of multivariate nonstationary time series 2005 Journal of the American Statistical Association
    100: 519-531  
    BibTeX:
    @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}
    }
    					
    Peña, D. & Box, G.E.P. Identifying a simplifying structure in time series 1987 Journal of the American Statistical Association
    82: 836-843  
    BibTeX:
    @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}
    }
    					
    Peña, D. Dimension reduction in time series and the dynamic factor model 2009 Biometrika
    96: 494-496  
    BibTeX:
    @article{Pena2009,
      author = {D. Peña},
      title = {Dimension reduction in time series and the dynamic factor model},
      journal = {Biometrika},
      year = {2009},
      volume = {96},
      pages = {494-496}
    }
    					
    Pedley, T.A. & Traub, R.D. Physiological basis of the EEG 1990 Current Practice of Clinical Electroencephalography (eds: Daly, D.D. & Pedley, T.A.)107-138  
    BibTeX:
    @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}
    }
    					
    Percival, D.B. & Walden, A.T. Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques 1993  
    BibTeX:
    @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}
    }
    					
    Petris, G. Bayesian Analysis of Long Memory Time Series 1997  
    BibTeX:
    @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}
    }
    					
    Petris, G.; Petrone, S. & Campagnoli, P. Dynamic linear models with R 2009  
    BibTeX:
    @book{petrisetal2009,
      author = {G. Petris and S. Petrone and P. Campagnoli},
      title = {Dynamic linear models with R},
      publisher = {Springer-Verlag},
      year = {2009}
    }
    					
    Petris, G. & West, M. Bayesian spectral analysis of long memory time series 1996 Proceedings of the 1996 Joint Statistical Meetings  
    BibTeX:
    @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}
    }
    					
    Petris, G. & West, M. Bayesian time series modelling and prediction with long-range dependence 1998 School: Institute of Statistics and Decision Science, Duke University  
    BibTeX:
    @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}
    }
    					
    Philipov, A. & Glickman, M.E. Factor multivariate stochastic volatility via Wishart processes 2006 Econometric Reviews
    25: 311-334  
    BibTeX:
    @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}
    }
    					
    Philipov, A. & Glickman, M.E. Multivariate stochastic volatility via Wishart processes 2006 Journal of Business and Economic Statistics
    24: 313-328  
    BibTeX:
    @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}
    }
    					
    Pitt, M.K. & Shephard, N. Time varying covariances: A factor stochastic volatility approach (with discussion) 1999 Bayesian Statistics 4 (eds: Bernardo, J.M.; Berger, J.O.; Dawid, A.P. & Smith, A.F.M.)547-570  
    BibTeX:
    @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}
    }
    					
    Pitt, M.K. & Shephard, N. Filtering via simulation: Auxiliary variable particle filter 1999 Journal of the American Statistical Association
    94: 590-599  
    BibTeX:
    @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}
    }
    					
    Pole, A.; West, M. & Harrison, P.J. Applied Bayesian Forecasting and Time Series Analysis 1994  
    BibTeX:
    @book{bats,
      author = {A. Pole and M. West and P. J. Harrison},
      title = {Applied Bayesian Forecasting and Time Series Analysis},
      publisher = {Chapman and Hall},
      year = {1994}
    }
    					
    Polson, N.G.; Stroud, J.R. & Müller, P. Practical filtering with sequential parameter learning 2008 Journal of the Royal Statistical Society, Series B
    39: 413-428  
    BibTeX:
    @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},
      year = {2008},
      volume = {39},
      pages = {413-428}
    }
    					
    Polson, N.G. & Tew, B. Bayesian portfolio selection: An empirical analysis of the $S&P500$ index 1970 - 1996 2000 Journal of Business and Economic Statistics
    18: 164-173  
    BibTeX:
    @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}
    }
    					
    Prado, R. Characterization of latent structure in brain signals 2009 Statistical Methods for Modeling Human Dynamics: An Interdisciplinary Dialogue (eds: Chow, S.; Ferrer, E. & Hsieh, F.)123-153  
    BibTeX:
    @incollection{prado_notredame,
      author = {R. Prado},
      title = {Characterization of latent structure in brain signals},
      booktitle = {Statistical Methods for Modeling Human Dynamics: An Interdisciplinary Dialogue},
      publisher = {Psychology Press, Taylor and Francis Group},
      year = {2009},
      pages = {123-153}
    }
    					
    Prado, R. Multi-state models for mental fatigue 2010 The Handbook of Applied Bayesian Analysis (eds: O'Hagan, A. & West, M.)845-874  
    BibTeX:
    @incollection{prado:2009,
      author = {R. Prado},
      title = {Multi-state models for mental fatigue},
      booktitle = {The Handbook of Applied Bayesian Analysis},
      publisher = {Oxford University Press},
      year = {2010},
      pages = {845-874}
    }
    					
    Prado, R. Latent Structure in Non-stationary Time Series 1998  
    BibTeX:
    @phdthesis{prado:98,
      author = {R. Prado},
      title = {Latent Structure in Non-stationary Time Series},
      publisher = {PhD Thesis: Institute of Statistics and Decision Sciences, Duke University},
      year = {1998}
    }
    					
    Prado, R. & Huerta, G. Time-varying autoregressions with model order uncertainty 2002 Journal of Time Series Analysis
    23: 599-618  
    BibTeX:
    @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}
    }
    					
    Prado, R.; Molina, F.J. & Huerta, G. Multivariate time series modeling and classification via hierarchical VAR mixtures 2006 Computational Statistics and Data Analysis
    51: 1445-1462  
    BibTeX:
    @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}
    }
    					
    Prado, R. & West, M. Exploratory modelling of multiple non-stationary time series: Latent process structure and decompositions 1997 Modelling Longitudinal and Spatially Correlated Data (eds: Gregoire, T.)349-362  
    BibTeX:
    @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}
    }
    					
    Prado, R.; West, M. & Krystal, A.D. Multi-channel EEG analyses via dynamic regression models with time-varying lag/lead structure 2001 Journal of the Royal Statistical Society, Series C
    50: 95-109  
    BibTeX:
    @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},
      year = {2001},
      volume = {50},
      pages = {95-109}
    }
    					
    Press, S.J. Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference 1982  
    BibTeX:
    @book{press:82,
      author = {S. J. Press},
      title = {Applied Multivariate Analysis: Using Bayesian and Frequentist Methods of Inference},
      publisher = {Krieger},
      year = {1982}
    }
    					
    Priestley, M.B. Spectral Analysis and Time Series 1994  
    BibTeX:
    @book{priestley,
      author = {M. B. Priestley},
      title = {Spectral Analysis and Time Series},
      publisher = {Academic Press},
      year = {1994},
      edition = {8th}
    }
    					
    Priestley, M.B.; Subba-Rao, T. & Tong, H. Applications of principal components analysis and factor analysis in the identification of multivariable systems 1974 IEEE Transactions on Automatic Control
    19: 730-734  
    BibTeX:
    @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}
    }
    					
    Putnam, B.H. & Quintana, J.M. New Bayesian statistical approaches to estimating and evaluating models of exchange rates determination 1994 Proceedings of the ASA Section on Bayesian Statistical Science  
    BibTeX:
    @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}
    }
    					
    Quintana, J. & Putnam, B.H. Debating currency markets efficiency using multiple-factor models 1996 Proceedings of the ASA Section on Bayesian Statistical Science, Joint Statistical Meetings 55-80  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M. Optimal portfolios of forward currency contracts 1992 Bayesian Statistics 4 (eds: Berger, J.O.; Bernardo, J.M.; Dawid, A.P. & Smith, A.F.M.)753-762  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M. Multivariate Bayesian Forecasting Models 1987  
    BibTeX:
    @book{quintanaphd,
      author = {J. M. Quintana},
      title = {Multivariate Bayesian Forecasting Models},
      publisher = {PhD Thesis: Department of Statistics, University of Warwick, UK},
      year = {1987}
    }
    					
    Quintana, J.M. A dynamic linear matrix-variate regression model 1985 School: University of Warwick, UK  
    BibTeX:
    @techreport{quintanatechreport,
      author = {J. M. Quintana},
      title = {A dynamic linear matrix-variate regression model},
      school = {University of Warwick, UK},
      year = {1985}
    }
    					
    Quintana, J.M.; Carvalho, C.M.; Scott, J. & Costigliola, T. Futures markets, Bayesian forecasting and risk modeling 2010 The Handbook of Applied Bayesian Analysis (eds: O'Hagan, A. & West, M.)343-365  
    BibTeX:
    @incollection{Quintana2010,
      author = {J. M. Quintana and C. M. Carvalho and J. Scott and T. Costigliola},
      title = {Futures markets, Bayesian forecasting and risk modeling},
      booktitle = {The Handbook of Applied Bayesian Analysis},
      publisher = {Oxford University Press},
      year = {2010},
      pages = {343-365}
    }
    					
    Quintana, J.M.; Chopra, V.K. & Putnam, B.H. Global asset allocation: Stretching returns by shrinking forecasts 1995 Proceedings of the ASA Section on Bayesian Statistical Science  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M.; Lourdes, V.; Aguilar, O. & Liu, J. Global gambling 2003 Bayesian Statistics 7 (eds: Bernardo, J.M.; Bayarri, M.J.; Berger, J.O.; Dawid, A.P.; Heckerman, D.; Smith, A.F.M. & West, M.)349-368  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M. & West, M. Multivariate time series analysis: New techniques applied to international exchange rate data 1987 The Statistician
    36: 275-281  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M. & West, M. Multivariate time series analysis: New techniques applied to international exchange rate data 1987 The Statistician
    36: 275-281  
    BibTeX:
    @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}
    }
    					
    Quintana, J.M. & West, M. Time series analysis of compositional data 1988 Bayesian Statistics 3 (eds: Bernardo, J.M.; DeGroot, M.H.; Lindley, D.V. & Smith, A.F.M.)747-756  
    BibTeX:
    @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}
    }
    					
    Team, R.D.C. R Foundation for Statistical Computing R: A Language and Environment for Statistical Computing 2004  
    BibTeX:
    @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}
    }
    					
    Raftery, A.E. & Lewis, S.M. How many iterations in the Gibbs sampler? 1992 Bayesian Statistics 4 (eds: Bernardo, J.M.; Berger, J.O.; Dawid, A.P. & Smith, A.F.M.)763-774  
    BibTeX:
    @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}
    }
    					
    Rao, R. & Tirtotjondro, W. Investigation of changes in characteristics of hydrological time series by Bayesian methods 1996 Stochastic Hydrology and Hydraulics
    10: 295-317  
    BibTeX:
    @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}
    }
    					
    Ravishanker, N. & Ray, B.K. Bayesian Analysis of Vector ARMA models using Gibbs sampling 1997 Journal of Forecasting
    16: 177-194  
    BibTeX:
    @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}
    }
    					
    Reeson, C.; Carvalho, C.M. & West, M. Dynamic graphical models & portfolio allocations for structured mutual funds 2009 School: Department of Statistical Science, Duke University  
    BibTeX:
    @techreport{Reeson2009,
      author = {C. Reeson and C. M. Carvalho and M. West},
      title = {Dynamic graphical models & portfolio allocations for structured mutual funds},
      school = {Department of Statistical Science, Duke University},
      year = {2009}
    }
    					
    Reinsel, G.C. Elements of Multivariate Time Series Analysis 1993  
    BibTeX:
    @book{reinsel,
      author = {G. C. Reinsel},
      title = {Elements of Multivariate Time Series Analysis},
      publisher = {Springer-Verlag},
      year = {1993},
      edition = {2nd}
    }
    					
    Robert, C.P. & Casella, G. Monte Carlo Statistical Methods 2005  
    BibTeX:
    @book{robertcasella,
      author = {C. P. Robert and G. Casella},
      title = {Monte Carlo Statistical Methods},
      publisher = {Springer-Verlag},
      year = {2005},
      edition = {Second}
    }
    					
    Rosen, O. & Stoffer, D.S. Automatic estimation of multivariate spectra via smoothing splines 2007 Biometrika
    94: 1-11  
    BibTeX:
    @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}
    }
    					
    Rosen, O.; Stoffer, D.S. & Wood, S. Local spectral analysis via a Bayesian mixture of smoothing splines 2009 Journal of the American Statistical Association
    104: 249-262  
    BibTeX:
    @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}
    }
    					
    Roverato, A. Hyper-inverse Wishart distribution for non-decomposable graphs and its application to Bayesian inference for Gaussian graphical models 2002 Scandinavian Journal of Statistics
    29: 391-411  
    BibTeX:
    @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}
    }
    					
    Rubin, D.B. Using the SIR algorithm to simulate posterior distributions 1988 Bayesian Statistics 3 (eds: Bernardo, J.M.; DeGroot, M.; Lindley, D. & Smith, A.F.M.)395-402  
    BibTeX:
    @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}
    }
    					
    Sackiem, H.A.; Devanand, D.P. & Prudic, J. Stimulus intensity, seizure threshold, and seizure duration: Impact on the efficacy and safety of electroconvulsive therapy 1991 Psychiatric Clinics of North America
    14: 803-43  
    BibTeX:
    @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}
    }
    					
    Sansó, B. & Müller, P. Redesigning a network of rainfall stations 1997 Case Studies in Bayesian Statistics 4 (eds: Gatsonis, C.; Kass, R.E.; Carlin, B.; Carriquiry, A.; Gelman, A.; Verdinelli, I. & West, M.)383-394  
    BibTeX:
    @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}
    }
    					
    Schwarz, G. Estimating the dimension of the model 1978 Annals of Statistics
    6: 461-464  
    BibTeX:
    @article{schwarz,
      author = {G. Schwarz},
      title = {Estimating the dimension of the model},
      journal = {Annals of Statistics},
      year = {1978},
      volume = {6},
      pages = {461-464}
    }
    					
    Shephard, N. Local scale models: State-space alternative to integrated GARCH models 1994 Journal of Econometrics
    60: 181-202  
    BibTeX:
    @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}
    }
    					
    Shumway, R.H. Time-frequency clustering and discriminant analysis 2003 Statistics and Probability Letters
    63: 307:314  
    BibTeX:
    @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}
    }
    					
    Shumway, R.H. & Stoffer, D.S. Time Series Analysis and Its Applications 2006  
    BibTeX:
    @book{shumwaystoffer,
      author = {R. H. Shumway and D. S. Stoffer},
      title = {Time Series Analysis and Its Applications},
      publisher = {Springer-Verlag},
      year = {2006},
      edition = {Second}
    }
    					
    Smith, A.F.M. & West, M. Monitoring renal transplants: An application of the multi-process Kalman filter 1983 Biometrics
    39: 867-878  
    BibTeX:
    @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}
    }
    					
    Smith, B.J. University of Iowa, College of Public Health Bayesian Output Analysis program (BOA)- Version 1.1 User's Manual 2004  
    BibTeX:
    @manual{boa,
      author = {B. J. Smith},
      title = {Bayesian Output Analysis program (BOA)-- Version 1.1 User's Manual},
      year = {2004}
    }
    					
    Stoffer, D.S. Detecting common signals in multiple time series using the spectral envelope 1999 Journal of the American Statistical Association
    94: 1341-1356  
    BibTeX:
    @article{stoffer:99,
      author = {D. S. Stoffer},
      title = {Detecting common signals in multiple time series using the spectral envelope},
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      year = {1999},
      volume = {94},
      pages = {1341-1356}
    }
    					
    Storvik, G. Particle filters for state-space models with the presence of unknown static parameters 2002 IEEE Transactions on Signal Processing
    50: 281-289  
    BibTeX:
    @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}
    }
    					
    Tan, W.Y. Some results on multivariate regression analysis 1969 Nanta Mathematica
    3: 54-71  
    BibTeX:
    @article{tan:1969,
      author = {W. Y. Tan},
      title = {Some results on multivariate regression analysis},
      journal = {Nanta Mathematica},
      year = {1969},
      volume = {3},
      pages = {54-71}
    }
    					
    Tiao, G.C. Vector ARMA models 2001 A Course in Time Series Analysis (eds: Peña, D.; Tiao, G.C. & Tsay, R.S.)  
    BibTeX:
    @inproceedings{tiao:2000,
      author = {G. C. Tiao},
      title = {Vector ARMA models},
      booktitle = {A Course in Time Series Analysis},
      publisher = {John Wiley & Sons},
      year = {2001}
    }
    					
    Tiao, G.C. Univariate autoregressive moving average models 2001 A Course in Time Series Analysis (eds: Peña, D.; Tiao, G.C. & Tsay, R.S.)  
    BibTeX:
    @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}
    }
    					
    Tiao, G.C. & Tsay, R.S. Model specification in multivariate time series with applications (with discussion) 1989 Journal of the Royal Statistical Society, Series B
    51: 157-213  
    BibTeX:
    @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},
      year = {1989},
      volume = {51},
      pages = {157-213}
    }
    					
    Tong, H. Non-linear Time Series: A Dynamical Systems Approach 1990  
    BibTeX:
    @book{tong,
      author = {H. Tong},
      title = {Non-linear Time Series: A Dynamical Systems Approach},
      publisher = {Oxford University Press},
      year = {1990}
    }
    					
    Tong, H. Threshold Models in Non-linear Time Series Analysis 1983  
    BibTeX:
    @book{tongtar,
      author = {H. Tong},
      title = {Threshold Models in Non-linear Time Series Analysis},
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      year = {1983}
    }
    					
    Trejo, L.J.; Knuth, K.; Prado, R.; Rosipal, R.; Kubitz, K.; Kochavi, R.; Matthews, B. & Zhang, Y. EEG-based estimation of mental fatigue: Convergent evidence for a three-state model 2007 Augmented Cognition, HCII 2007, LNAI 4565 (eds: Schmorrow, D. & Reeves, L.)201-211  
    BibTeX:
    @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}
    }
    					
    Trejo, L.J.; Kochavi, R.; Kubitz, K.; Montgomery, L.D.; Rosipal, R. & Matthews, B. EEG-based estimation of mental fatigue 2006 School: neurodia.com  
    BibTeX:
    @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}
    }
    					
    Trejo, L.J.; Matthews, R. & Allison, B.Z. Experimental design and testing of a multimodal cognitive overload classifier 2007 Foundations of Augmented Cognition (eds: Schmorrow, D.; Nicholson, D.; Drexler, J. & Reeves, L.)13-22  
    BibTeX:
    @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}
    }
    					
    Triantafyllopoulos, K. Multivariate stochastic volatility with Bayesian dynamic linear models 2008 Journal of Statistical Planning and Inference
    138: 1021-1037  
    BibTeX:
    @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}
    }
    					
    Troutman, B.M. Some results in periodic autoregression 1979 Biometrika
    66: 219-228  
    BibTeX:
    @article{troutman,
      author = {B. M. Troutman},
      title = {Some results in periodic autoregression},
      journal = {Biometrika},
      year = {1979},
      volume = {66},
      pages = {219-228}
    }
    					
    Uhlig, H. On singular Wishart and singular multivariate beta distributions 1994 Annals of Statistics
    22: 395-405  
    BibTeX:
    @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}
    }
    					
    Uhlig, H. Bayesian vector autoregressions with stochastic volatility 1997 Econometrica
    1: 59-73  
    BibTeX:
    @article{uhlig:var,
      author = {H. Uhlig},
      title = {Bayesian vector autoregressions with stochastic volatility},
      journal = {Econometrica},
      year = {1997},
      volume = {1},
      pages = {59-73}
    }
    					
    van der Merwe, R.; Doucet, A.; de Freitas, N. & Wan, E. The unscented particle filter 2000 Advances in Neural Information Processing Systems (eds: Leen, T.K.; Dietterich, T.G. & Tresp, V.)  
    BibTeX:
    @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}
    }
    					
    Vidakovic, B. Statistical Modeling by Wavelets 1999  
    BibTeX:
    @book{brani,
      author = {B. Vidakovic},
      title = {Statistical Modeling by Wavelets},
      publisher = {John Wiley & Sons, Texts in Statistics},
      year = {1999}
    }
    					
    Villagrán, A. & Huerta, G. Bayesian inference on mixture-of-experts for estimation of stochastic volatility 2006
    20:Econometric Analysis of Financial and Economic Time Series Part B. Advances in Econometrics (eds: Fomby, T.; Terrell, D. & Carter Hill, R.)277-296  
    BibTeX:
    @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}
    }
    					
    Wang, H. & West, M. Bayesian analysis of matrix normal graphical models 2009 Biometrika
    96: 821-834  
    BibTeX:
    @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}
    }
    					
    Wei, G.C.G. & Tanner, M.A. A Monte Carlo implementation of the EM algorithm and the poor man's data augmentation algorithm 1990 Journal of the American Statistical Association
    85: 699-704  
    BibTeX:
    @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}
    }
    					
    Weiner, R.D. & Krystal, A.D. EEG Monitoring of ECT Seizures 1993 The Clinical Science of Electroconvulsive Therapy (eds: Coffey, C.)93-109  
    BibTeX:
    @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}
    }
    					
    West, M. Approximating posterior distributions by mixtures 1993 Journal of the Royal Statistical Society, Series B
    55: 409-422  
    BibTeX:
    @article{west:1993a,
      author = {M. West},
      title = {Approximating posterior distributions by mixtures},
      journal = {Journal of the Royal Statistical Society, Series B},
      year = {1993},
      volume = {55},
      pages = {409-422}
    }
    					
    West, M. Mixture models, Monte Carlo, Bayesian updating and dynamic models 1993 Computing Science and Statistics: Proceedings of the 24th Symposium of the Interface (eds: Newton, J.)325-333  
    BibTeX:
    @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}
    }
    					
    West, M. Time series decomposition 1997 Biometrika
    84: 489-94  
    BibTeX:
    @article{west:97a,
      author = {M. West},
      title = {Time series decomposition},
      journal = {Biometrika},
      year = {1997},
      volume = {84},
      pages = {489-94}
    }
    					
    West, M. Modelling and robustness issues in Bayesian time series analysis (with discussion) 1997 Bayesian Robustness (eds: Berger, J.O.; Betrò, B.; Moreno, E.; Pericchi, L.R.; Ruggeri, F.; Salinetti, G. & Wasserman, L.)231-252  
    BibTeX:
    @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}
    }
    					
    West, M. Bayesian time series: Models and computations for the analysis of time series in the physical sciences 1997 Maximum Entropy and Bayesian Methods 15 (eds: Hanson, K. & Silver, R.)23-34  
    BibTeX:
    @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}
    }
    					
    West, M. Bayesian factor regression models in the lqlq large p, small n" paradigm 2003 Bayesian Statistics 7 (eds: Bernardo, J.M.; Bayarri, M.J.; Berger, J.O.; Dawid, A.P.; Heckerman, D.; Smith, A.F.M. & West, M.)723-732  
    BibTeX:
    @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}
    }
    					
    West, M. & Harrison, P.J. Bayesian Forecasting and Dynamic Models 1989  
    BibTeX:
    @book{west:harri:89,
      author = {M. West and P. J. Harrison},
      title = {Bayesian Forecasting and Dynamic Models},
      publisher = {Springer-Verlag},
      year = {1989},
      edition = {1st}
    }
    					
    West, M. & Harrison, P.J. Bayesian Forecasting and Dynamic Models 1997  
    BibTeX:
    @book{west:harri:97,
      author = {M. West and P. J. Harrison},
      title = {Bayesian Forecasting and Dynamic Models},
      publisher = {Springer-Verlag},
      year = {1997},
      edition = {2nd}
    }
    					
    West, M. & Harrison, P.J. Monitoring and adaptation in Bayesian forecasting models 1986 Journal of the American Statistical Association
    81: 741-750  
    BibTeX:
    @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}
    }
    					
    West, M. & Harrison, P.J. Subjective intervention in formal models 1989 Journal of Forecasting
    8: 33-53  
    BibTeX:
    @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}
    }
    					
    West, M.; Harrison, P.J. & Migon, H.S. Dynamic generalised linear models and Bayesian forecasting (with discussion) 1985 Journal of the American Statistical Association
    80: 73-97  
    BibTeX:
    @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}
    }
    					
    West, M.; Prado, R. & Krystal, A.D. Evaluation and comparison of EEG traces: Latent structure in nonstationary time series 1999 Journal of the American Statistical Association
    94: 1083-1095  
    BibTeX:
    @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}
    }
    					
    Whittaker, J. Graphical Models in Applied Multivariate Statistics 1990  
    BibTeX:
    @book{whittaker90,
      author = {J. Whittaker},
      title = {Graphical Models in Applied Multivariate Statistics},
      publisher = {John Wiley & Sons},
      year = {1990}
    }
    					
    Wong, C.S. & Li, W.K. On a mixture autoregressive model 2000 Journal of the Royal Statistical Society, Series B
    62: 95-115  
    BibTeX:
    @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},
      year = {2000},
      volume = {62},
      pages = {95-115}
    }
    					
    Wong, C.S. & Li, W.K. On a mixture autoregressive conditional heteroscedastic model 2001 Journal of the American Statistical Association
    96: 982-995  
    BibTeX:
    @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}
    }
    					
    Wong, F.; Carter, C.K. & Kohn, R. Efficient estimation of covariance selection models 2003 Biometrika
    90: 809-830  
    BibTeX:
    @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}
    }
    					
    Yang, R. & Berger, J.O. Estimation of a covariance matrix using the reference prior 1994 Annals of Statistics
    22: 1195-1211  
    BibTeX:
    @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}
    }
    					
    Yoshida, R. & West, M. Bayesian learning in sparse graphical factor models via annealed entropy 2010 Journal of Machine Learning Research
    11: 1771-1798  
    BibTeX:
    @article{Yoshida2009,
      author = {R. Yoshida and M. West},
      title = {Bayesian learning in sparse graphical factor models via annealed entropy},
      journal = {Journal of Machine Learning Research},
      year = {2010},
      volume = {11},
      pages = {1771-1798},
      note = {PMC2947451},
      url = {http://ftp.stat.duke.edu/WorkingPapers/09-07.html}
    }
    					
    Zellner, A. An Introduction to Bayesian Inference in Econometrics 1996  
    BibTeX:
    @book{zellner:1996,
      author = {A. Zellner},
      title = {An Introduction to Bayesian Inference in Econometrics},
      publisher = {John Wiley & Sons},
      year = {1996}
    }
    					
    Stochastic Volatility: Selected Readings 2005 (eds: Shephard, N.)  
    BibTeX:
    @proceedings{shep:2005,,
      title = {Stochastic Volatility: Selected Readings},
      publisher = {Oxford University Press},
      year = {2005}
    }