Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices

DOI10.1080/03610926.2019.1565832OpenAlexW4252915822WikidataQ128105693 ScholiaQ128105693MaRDI QIDQ5077392

Nuttanan Wichitaksorn

Publication date: 18 May 2022

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

Full work available at URL: http://hdl.handle.net/10292/12258

zbMATH Keywords

Markov chain Monte Carlomultivariate analysisautoregressionmatrix-variate normal distribution

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE
• Forecasting and conditional projection using realistic prior distributions

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