A note on a Bayesian order determination procedure for vectorautoregressive processes

DOI10.1007/BF02925408zbMath0887.62094OpenAlexW2067891158MaRDI QIDQ1383247

Markus Heintel

Publication date: 25 May 1998

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02925408

zbMATH Keywords

tablessimulationsWishart distributionAICBICorder determinationvectorautoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Cites Work

• Estimating the dimension of a model
• Marginal Likelihood from the Gibbs Output
• Bayes Factors
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