Bayesian estimation for first-order autoregressive model with explanatory variables

DOI10.1080/03610926.2016.1260736MaRDI QIDQ4595900zbMATH OpenOpenAlexFDO

Authors Kai Yang, Dehui Wang

Publication date 6 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1260736

zbMATH Keywords

autoregressive modelBayesian estimationBayesian model selectionconjugate prior

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bayesian estimation of an AR(1) process with exponential white noise
• Bayesian estimation of AR(1) models with uniform innovations
• Robust Bayesian analysis of an autoregressive model with exponential innovations
• scientific article; zbMATH DE number 6001248
• BAYESian Analysis of an Autoregressiye Process with Exponential White Noise

Cited in

(13)

• Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables
• Empirical likelihood confidence regions for autoregressive models with explanatory variables
• Bayes estimation of binary time series
• Bayesian estimation of autoregressive models with time-varying coefficients
• BAYESian Analysis of an Autoregressiye Process with Exponential White Noise
• Bayesian estimation of AR(1) models with uniform innovations
• Bayesian Estimation of the Regression Model with Autocorrelated Errors Under Contamination
• scientific article; zbMATH DE number 4028687 (Why is no real title available?)
• A Bivariate First-Order Autoregressive Time Series Model in Exponential Variables (BEAR(1))
• Default Bayesian Priors for Regression Models with First‐Order Autoregressive Residuals
• Estimation of stationary autoregressive models with the Bayesian LASSO
• Bayesian inference for quantile autoregressive model with explanatory variables
• Variable selection for single-index-driven autoregressive model with linear explanatory variables

This page was built for publication: Bayesian estimation for first-order autoregressive model with explanatory variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595900)