Bayesian mixture of autoregressive models

DOI10.1016/j.csda.2008.06.001zbMath1452.62655OpenAlexW1993848799MaRDI QIDQ1023925

John W. Lau, Mike K. P. So

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.06.001

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (15)

Bayesian analysis of mixture autoregressive models covering the complete parameter space ⋮ On Construction and Estimation of Stationary Mixture Transition Distribution Models ⋮ Bayesian nonparametric density autoregression with lag selection ⋮ Covariate dependent beta-GoS process ⋮ A Bayesian nonparametric Markovian model for non-stationary time series ⋮ A conjugate class of random probability measures based on tilting and with its posterior analysis ⋮ A location-mixture autoregressive model for online forecasting of lung tumor motion ⋮ A Monte Carlo Markov chain algorithm for a class of mixture time series models ⋮ Bayesian semiparametric stochastic volatility modeling ⋮ Bayesian comparative study on binary time series ⋮ A new Dirichlet process for mining dynamic patterns in functional data ⋮ Modelling long-term investment returns via Bayesian infinite mixture time series models ⋮ The dependent Dirichlet process and related models ⋮ Symmetrical and asymmetrical mixture autoregressive processes ⋮ AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series

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