Extended dynamic generalized linear models: the two-parameter exponential family

DOI10.1016/J.CSDA.2016.09.008zbMath1469.62145arXiv1508.05914OpenAlexW2963977781WikidataQ115577952 ScholiaQ115577952MaRDI QIDQ1662186

M. A. O. Souza, Helio S. Migon, João B. M. Pereira

Publication date: 17 August 2018

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

Full work available at URL: https://arxiv.org/abs/1508.05914

zbMATH Keywords

Bayesian inferenceanalytical approachconjugate updating

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Related Items (3)

A new filtering inference procedure for a GED state-space volatility model ⋮ Dynamic quantile linear models: a Bayesian approach ⋮ Time series of count data: a review, empirical comparisons and data analysis

Uses Software

• R

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