Bayesian estimation and model selection for the spatiotemporal autoregressive model with autoregressive conditional heteroscedasticity errors

DOI10.1007/s10255-023-1096-xOpenAlexW4388491989MaRDI QIDQ6089363

Bing Su, Ju Huang, Fukang Zhu

Publication date: 17 November 2023

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-023-1096-x

zbMATH Keywords

spatialmodel selectionBayesian estimationspatiotemporal modelARCH modelautoregressive conditional heteroscedasticity modelspatial panel model

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Bayesian inference (62F15)

Cites Work

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• GMM and 2SLS estimation of mixed regressive, spatial autoregressive models
• Spatial weights matrix selection and model averaging for spatial autoregressive models
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• Estimating Bayes Factors via Posterior Simulation With the Laplace-Metropolis Estimator
• Spatial Autoregressive Conditional Heteroskedasticity Models
• A Stationary Spatio‐Temporal GARCH Model
• Modelling Spatial and Spatial-Temporal Data
• Asymptotic Distributions of Quasi-Maximum Likelihood Estimators for Spatial Autoregressive Models
• Bayesian Model Selection and Statistical Modeling
• A general framework for spatial GARCH models

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