Bayesian time series regression with nonparametric modeling of autocorrelation

DOI10.1007/s00180-018-0796-9zbMath1417.62076OpenAlexW2793990278MaRDI QIDQ1729307

Kun Ho Kim, Chae Young Lim, Tanujit Dey

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0796-9

zbMATH Keywords

autocorrelation functionGaussian process priorWhittle likelihoodBayesian framework

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15)

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