Bayesian inference for vector ARMA models with stable innovations

MaRDI QIDQ2736793zbMATH OpenFDO

Authors Zuqiang Qiou, Nalini Ravishanker

Publication date 11 September 2001

Published in Sankhyā. Series A. Methods and Techniques (Search for Journal in Brave)

zbMATH Keywords

infinite varianceMetropolis-Hastings algorithmVARMA model

Mathematics Subject Classification ID

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

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