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

ARMA processinfinite variancelinear time seriesMetropolis-Hastings algorithmposterior density

Mathematics Subject Classification ID

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

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• Indirect Estimation of α-Stable Distributions and Processes
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• Approximate Inference for Observation-Driven Time Series Models with Intractable Likelihoods
• Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models
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