Robust Bayesian analysis of a multivariate dynamic model

DOI10.1016/j.physa.2019.121451OpenAlexW2946301335WikidataQ127854906 ScholiaQ127854906MaRDI QIDQ2161947

Anoop Chaturvedi, M. Ishaq Bhatti, Arvind Shrivastava

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121451

zbMATH Keywords

data complexityrobust Bayesiancorporate finance\(\varepsilon\)-contamination class of priormultivariate dynamic modelML-II posterior density

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (1)

Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries

Cites Work

• Bayesian and robust Bayesian analysis under a general class of balanced loss functions
• Bayesian regression analysis with linked data using mixture normal distributions
• Confidence ellipsoids based on a general family of shrinkage estimators for a linear model with non-spherical disturbances
• Ranges of posterior measures for priors with unimodal contaminations
• Statistical decision theory and Bayesian analysis. 2nd ed
• Bayesian input in Stein estimation and a new minimax empirical Bayes estimator
• Stable decision problems
• An overview of robust Bayesian analysis. (With discussion)
• A probable probability distribution of a series nonequilibrium states in a simple system out of equilibrium
• An exactly solvable correlated stochastic process in finite time
• Robust Bayesian analysis: sensitivity to the prior
• Robust Bayesian analysis of the linear regression model
• Subjective hierarchical Bayes estimation of a multivariate normal mean: On the frequentist interface
• Sets of Posterior Means with Bounded Variance Priors
• A quasi-Bayesian analysis of regression outliers using Akaike's predictive likelihood
• Improved Predictions in Linear Regression Models with Stochastic Linear Constraints
• Bayesian analysis of disturbances variance in the linear regression model under asymmetric loss functions
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Robust Bayesian analysis of a multivariate dynamic model