Bayesian variable selection for matrix autoregressive models

DOI10.1007/s11222-024-10402-yzbMath1539.62011MaRDI QIDQ6547759

Galin L. Jones, Alessandro Celani, Paolo Pagnottoni

Publication date: 31 May 2024

Published in: Statistics and Computing (Search for Journal in Brave)

zbMATH Keywords

autoregressive modelsBayesian estimationstochastic searchmaximum a posteriori probabilitymatrix-valued time series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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