Flexible Bayesian dynamic modeling of correlation and covariance matrices

DOI10.1214/19-BA1173zbMath1480.62100arXiv1711.02869OpenAlexW2987054246MaRDI QIDQ2057355

Norbert J. Fortin, Hernando Ombao, Gabriel A. Elias, Babak Shahbaba, Andrew J. Holbrook, Shiwei Lan

Publication date: 6 December 2021

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.02869

zbMATH Keywords

spatio-temporal modelsposterior contractiongeometric methods\( \Delta \)-spherical Hamiltonian Monte Carlodynamic covariance modeling

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05)

Uses Software

• AS 53
• glasso
• NUTS

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