Department of Applied Mathematics, Guangdong University of Finance, Guangzhou 510521, PR China
Abstract:
This paper extends the limiting results of West and Harrison (1997, section 5.5) about the convergence of the variances of time series dynamic linear models (TSDLMs) when both, the variances of the observation and evolution errors of the model, are time-varying with steady limits. Analytical results are derived and an illustrative example is provided.