Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers

DOI10.2307/2291388zbMath0870.62071OpenAlexW4242278199MaRDI QIDQ3128652

R. Douglas Martin, Adrian E. Raftery, Nhu D. Le

Publication date: 18 September 1997

Full work available at URL: https://doi.org/10.2307/2291388

zbMATH Keywords

spectrumpredictive distributionsrobust filteringLaplace approximationrobust likelihoodadditive outlierposterior probabilitiesrobust to outliersAR(k) modelsrobust Bayes factors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (1)

Selecting sub-set autoregressions from outlier contaminated data.

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