Penalised Complexity Priors for Stationary Autoregressive Processes

DOI10.1111/jtsa.12242zbMath1416.62529arXiv1608.08941OpenAlexW2964093607MaRDI QIDQ4596431

Sigrunn H. Sørbye, Håvard Rue

Publication date: 1 December 2017

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

Full work available at URL: https://arxiv.org/abs/1608.08941

zbMATH Keywords

robustnesslatent Gaussian modelsAR(\(p\))prior selection \texttt{R-INLA}

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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