Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes

DOI10.1111/1467-9892.00212zbMath0966.62063OpenAlexW2084077149MaRDI QIDQ2722252

Mattias Villani

Publication date: 11 July 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00212

zbMATH Keywords

improper priorsvector autoregressionfractional marginal likelihoodlag length selection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (6)

Prior distributions for objective Bayesian analysis ⋮ Bayesian assessment of dimensionality in reduced rank regression ⋮ BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION ⋮ Structural learning of contemporaneous dependencies in graphical VAR models ⋮ A Bayesian estimation of lag lengths in distributed lag models ⋮ A Bayesian Approach to Modelling Graphical Vector Autoregressions

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