Bayesian Models for Non‐linear Autoregressions

DOI10.1111/1467-9892.00070zbMath0910.62083OpenAlexW2092727314MaRDI QIDQ4379711

Steven N. MacEachern, Mike West, Peter Mueller

Publication date: 22 April 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00070

zbMATH Keywords

mixture modelsBayesian computationsnonlinear autoregressive times series

Mathematics Subject Classification ID

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

Related Items (7)

A Nonparametric Model for Stationary Time Series ⋮ Bayesian nonparametric density autoregression with lag selection ⋮ A Bayesian nonparametric Markovian model for non-stationary time series ⋮ A Monte Carlo Markov chain algorithm for a class of mixture time series models ⋮ Nonparametric Bayesian multiple testing for longitudinal performance stratification ⋮ Bayesian semiparametric stochastic volatility modeling ⋮ A consistent nonparametric Bayesian procedure for estimating autoregressive conditional den\-sities

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