Dynamic Linear Models with R

By G. Petris, S. Petrone, Patrizia Campagnoli. 2009

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Temporal Regularized Matrix Factorization for High-dimensional Time Series Prediction (2016, methodology): “Similarly, Kalman filter based DLM approaches need O(kn2T + k3T ) computation cost to update parameters, where k is the latent dimensionality, which is usually chosen to be larger than n in many situations [13].”