Bayesian nonparametric vector autoregressive models
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Cites work
- scientific article; zbMATH DE number 774881 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Parametric Approach to Flexible Nonlinear Inference
- A floor and ceiling model of US output
- A nonparametric model for stationary time series
- Adaptive Bayesian estimation of conditional densities
- An adaptive truncation method for inference in Bayesian nonparametric models
- Bayesian multivariate time series methods for empirical macroeconomics
- Calculating posterior distributions and modal estimates in Markov mixture models
- Estimation of a structural vector autoregression model using non-Gaussianity
- Generalized smooth finite mixtures
- Identification and estimation of non-Gaussian structural vector autoregressions
- Identifying Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business Cycle
- Impulse response analysis in nonlinear multivariate models
- Limit theorems for some adaptive MCMC algorithms with subgeometric kernels
- Nonparametric vector autoregression
- Nonparametric vector autoregressions: specification, estimation, and inference
- On adaptive Markov chain Monte Carlo algorithms
- On the ergodicity properties of some adaptive MCMC algorithms
- Regression density estimation using smooth adaptive Gaussian mixtures
- Smoothly mixing regressions
- Sparse Bayesian infinite factor models
- Specification, estimation, and evaluation of smooth transition autoregressive models
- Structural Vector Autoregressions With Nonnormal Residuals
- Testing for neglected nonlinearity in regression models based on the theory of random fields
- Thresholds and smooth transitions in vector autoregressive models
- Time Varying Structural Vector Autoregressions and Monetary Policy
Cited in
(28)- A scalable Bayesian nonparametric model for large spatio-temporal data
- A new posterior sampler for Bayesian structural vector autoregressive models
- Multivariate Bayesian predictive synthesis in macroeconomic forecasting
- Bayesian Nonparametric Panel Markov-Switching GARCH Models
- A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
- Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
- Bayesian nonparametric sparse VAR models
- Autoregressive density modeling with the Gaussian process mixture transition distribution
- Macroeconomic forecasting based on LSTM-conditioned normalizing flows
- Nonparametric vector autoregressions: specification, estimation, and inference
- Bayesian modeling and forecasting of vector autoregressive moving average processes
- A dynamic latent-space model for asset clustering
- Dynamic shrinkage priors for large time-varying parameter regressions using scalable Markov chain Monte Carlo methods
- TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
- Bayesian sparse vector autoregressive switching models with application to human gesture phase segmentation
- Optimal Bayesian Classification With Vector Autoregressive Data Dependency
- A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
- Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- Fast and Flexible Bayesian Inference in Time-varying Parameter Regression Models
- Inference in Bayesian additive vector autoregressive tree models
- Dependent Modeling of Temporal Sequences of Random Partitions
- A simple class of Bayesian nonparametric autoregression models
- Bayesian learning of graphical vector autoregressions with unequal lag-lengths
- Hierarchical species sampling models
- Nonlinear and nonparametric modeling approaches for probabilistic forecasting of the US gross national product
- Bayesian nonparametric density autoregression with lag selection
- Stationary Autoregressive Models via a Bayesian Nonparametric Approach
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