Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models

DOI10.1016/j.csda.2023.107690arXiv2206.12280MaRDI QIDQ6113744

Wen-Hsi Yang, Yuelei Sui, Scott H. Holan

Publication date: 11 July 2023

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.12280

zbMATH Keywords

Bayesian hierarchical modelnonstationary time seriespartial autocorrelationvector autoregressive modeltime-varying spectral density

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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