Vector distributed lag models with smoothness priors

DOI10.1016/0167-9473(90)90058-PzbMath0825.62671OpenAlexW2029205707MaRDI QIDQ1896100

Wolfgang Polasek

Publication date: 17 August 1995

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

Full work available at URL: https://doi.org/10.1016/0167-9473(90)90058-p

zbMATH Keywords

smoothness priorsBayesian information criterionBayesian hierarchical modelsposterior-imputation resampling algorithm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (1)

A linearly distributed lag estimator with \(r\)-convex coefficients

Cites Work

• Seasonal Variability in a Distributed Lag Model
• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• A Distributed Lag Estimator Derived from Smoothness Priors
• Some results on multivariate autoregressive index models
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