Stationary Autoregressive Models via a Bayesian Nonparametric Approach

DOI10.1111/j.1467-9892.2005.00429.xzbMath1097.62084OpenAlexW2066443130MaRDI QIDQ5487363

Ramsés H. Mena, Stephen G. Walker

Publication date: 19 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00429.x

zbMATH Keywords

logistic normal processdiscrete autoregressive time seriesone-step ahead predictive density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Nonparametric inference (62G99)

Related Items (12)

BAYESIAN CONSISTENCY FOR STATIONARY MODELS ⋮ Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective ⋮ A Nonparametric Model for Stationary Time Series ⋮ A Bayesian nonparametric approach to modeling market share dynamics ⋮ A Bayesian nonparametric Markovian model for non-stationary time series ⋮ Bayesian consistency for a nonparametric stationary Markov model ⋮ Stationary mixture transition distribution (MTD) models via predictive distributions ⋮ Claims reserving: A correlated Bayesian model ⋮ On the construction of stationary AR(1) models via random distributions ⋮ Exchangeable claim sizes in a compound Poisson-type process ⋮ On a flexible construction of a negative binomial model ⋮ Bayesian consistency for Markov models

Uses Software

• Ox
• sm

Cites Work

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• Bayesian Nonparametric Inference for Random Distributions and Related Functions
• Stationary Time Series Models with Exponential Dispersion Model Margins
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Lorenz ranking of income distributions
• A density function connected with a non-negative self-decomposable random variable
• Random Bernstein Polynomials

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