Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model

DOI10.1214/14-BA865zbMath1327.62166WikidataQ58611458 ScholiaQ58611458MaRDI QIDQ899028

Jing-Heng Cai, Xiang-Nan Feng, Xin-Yuan Song, Xue-Jun Jiang

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1401148313

zbMATH Keywords

Bayes factornonlinear time seriesMCMC methodsBayesian P-splinesautoregressive heteroscedastic models

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15)

Uses Software

• BayesDA

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