This paper presents a dynamic linear model for modeling hourly ozone concentrations over the eastern United States. That model, which is developed within an Bayesian hierarchical framework, inherits the important feature of such models that its coefficients, treated as states of the process, can change with time. Thus the model includes a time--varying site invariant mean field as well as time varying coefficients for 24 and 12 diurnal cycle components. This cost of this models great flexibility comes at the cost of computational complexity, forcing us to use an MCMC approach and to restrict application of our model domain to a small number of monitoring sites. We critically assess this model and discover some of its weaknesses in this type of application.
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