On the Relationship between Uhlig Extended and beta‐Bartlett Processes

DOI10.1111/JTSA.12595zbMath1493.62532OpenAlexW3160975731MaRDI QIDQ5030956

Víctor Peña, Kaoru Irie

Publication date: 18 February 2022

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

Full work available at URL: https://doi.org/10.1111/jtsa.12595

zbMATH Keywords

stochastic volatilitystate-space modelsBayesian model comparison

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

Unnamed Item ⋮ High-dimensional order-free multivariate spatial disease mapping

Cites Work

• Unnamed Item
• Unnamed Item
• A tractable state-space model for symmetric positive-definite matrices
• Comment on article by Windle and Carvalho
• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Inherent difficulties of non-Bayesian likelihood-based inference, as revealed by an examination of a recent book by Aitkin
• Bayesian Vector Autoregressions with Stochastic Volatility

This page was built for publication: On the Relationship between Uhlig Extended and beta‐Bartlett Processes