Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models (Q6113744)
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scientific article; zbMATH DE number 7710145
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models |
scientific article; zbMATH DE number 7710145 |
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Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models (English)
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11 July 2023
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Bayesian hierarchical model
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nonstationary time series
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partial autocorrelation
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time-varying spectral density
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vector autoregressive model
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