Comment on article by Windle and Carvalho

DOI10.1214/14-BA918zbMath1327.62134MaRDI QIDQ899054

Roberto Casarin

Publication date: 21 December 2015

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

Full work available at URL: https://projecteuclid.org/euclid.ba/1416579177

zbMATH Keywords

stochastic volatilityexponential smoothingstate-space modelspositive-valued processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Positive matrices and their generalizations; cones of matrices (15B48)

Related Items (3)

Supergraph calculation of one-loop divergences in higher-derivative \(6D\) SYM theory ⋮ One-loop \({\beta}\)-functions in 4-derivative gauge theory in 6 dimensions ⋮ On the Relationship between Uhlig Extended and beta‐Bartlett Processes

Uses Software

• expsmooth

Cites Work

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• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
• Bayesian analysis of matrix normal graphical models
• Bayesian Vector Autoregressions with Stochastic Volatility
• Dynamic matrix-variate graphical models

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