Bayesian estimation for first-order autoregressive model with explanatory variables

DOI10.1080/03610926.2016.1260736zbMath1379.62054OpenAlexW2552277594MaRDI QIDQ4595900

De-Hui Wang, Kai Yang

Publication date: 6 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1260736

zbMATH Keywords

conjugate priorautoregressive modelBayesian estimationBayesian model selection

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Bayesian inference (62F15)

Related Items (3)

Bayesian inference for quantile autoregressive model with explanatory variables ⋮ Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables ⋮ Empirical likelihood confidence regions for autoregressive models with explanatory variables

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