On the vector-valued generalized autoregressive models

DOI10.1080/00949655.2023.2185781MaRDI QIDQ6074358

T. Manouchehri, Unnamed Author, A. R. Nematollahi

Publication date: 19 September 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

zbMATH Keywords

Gibbs samplingnon-informative priorsMCMC algorithmsMAP estimateVAR modelsgeneralized autoregressive modelsECM algorithmsAyesian analysisvector-valued generalized autoregressive models

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Stationary stochastic processes (60G10) Statistics (62-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Comparison of certain value-at-risk estimation methods for the two-parameter Weibull loss distribution
• An introduction to volatility models with indices
• Time series: theory and methods.
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Maximum a posteriori estimators as a limit of Bayes estimators
• Testing for serial independence in vector autoregressive models
• Some Properties of the Generalized Autoregressive Moving Average (GARMA (1, 1; δ₁, δ₂)) Model
• Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors
• Introduction to Time Series and Forecasting
• Analysis of Financial Time Series

This page was built for publication: On the vector-valued generalized autoregressive models