A consistent nonparametric Bayesian procedure for estimating autoregressive conditional den\-sities

DOI10.1016/J.CSDA.2006.06.020zbMATH Open1162.62332OpenAlexW2079626203MaRDI QIDQ1020103FDOQ1020103

Subhashis Ghosal, Yongqiang Tang

Publication date: 29 May 2009

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

Full work available at URL: https://doi.org/10.1016/j.csda.2006.06.020

zbMATH Keywords

posterior consistencyDirichlet process mixture modelsno-gaps algorithm

Mathematics Subject Classification ID

Bayesian inference (62F15) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (8)

• A simple class of Bayesian nonparametric autoregression models
• A Nonparametric Model for Stationary Time Series
• A Bayesian nonparametric Markovian model for non-stationary time series
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• A Bayesian conditional autoregressive geometric process model for range data
• A Bayesian nonparametric study of a dynamic nonlinear model
• Posterior consistency in conditional distribution estimation
• Bayesian nonparametric density autoregression with lag selection

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