Bayesian Inference for Time Series with Stable Innovations

DOI10.1111/1467-9892.00088MaRDI QIDQ3838317zbMATH OpenOpenAlexFDO

Authors Zuqiang Qiou, Nalini Ravishanker

Publication date 9 August 1998

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

Full work available at URL https://doi.org/10.1111/1467-9892.00088

zbMATH Keywords

Metropolis-Hastings algorithmlinear time seriesinfinite varianceARMA processposterior density

Mathematics Subject Classification ID

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

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• Bayesian inference for vector ARMA models with stable innovations
• Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
• Likelihood-free Bayesian inference for \(\alpha\)-stable models
• Indirect Estimation of α-Stable Distributions and Processes
• Linear and non-linear regression models assuminga stable distribution
• Fast approximate likelihood evaluation for stable VARFIMA processes
• Bayesian Inference for Stable Distributions
• Bayesian inference for multiplicative seasonal models with stable innovations
• Bayesian inference in time series models using kernel quasi likelihoods
• Bayesian inference for ARMA model with stable innovations and applications
• Fast Bayesian estimation for VARFIMA processes with stable errors
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models

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