Modeling covariance matrices via partial autocorrelations

DOI10.1016/j.jmva.2009.04.015zbMath1175.62090OpenAlexW2066315347WikidataQ42562458 ScholiaQ42562458MaRDI QIDQ1036800

Michael J. Daniels, Mohsen Pourahmadi

Publication date: 13 November 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://europepmc.org/articles/pmc2748961

zbMATH Keywords

Markov chain Monte CarloCholesky decompositionautoregressive parametersLevinson-Durbin algorithmpositive-definiteness constraintprediction variancesuniform and reference priors

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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