A Bayesian analysis of moving average processes with time-varying parameters

DOI10.1016/j.csda.2007.04.001zbMath1452.62683MaRDI QIDQ1020904

Kostas Triantafyllopoulos, Guy P. Nason

Publication date: 2 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.04.001

zbMATH Keywords

time series; time-varying parameters; locally stationary processes; forecasting; moving average; Bayesian models; London Metal Exchange

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

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

62F15: Bayesian inference

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