Bayesian time series regression with nonparametric modeling of autocorrelation

DOI10.1007/s00180-018-0796-9zbMath1417.62076OpenAlexW2793990278MaRDI QIDQ1729307

Kun Ho Kim, Chae Young Lim, Tanujit Dey

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0796-9

zbMATH Keywords

autocorrelation functionGaussian process priorWhittle likelihoodBayesian framework

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Bayesian inference (62F15)

Related Items

Spatial regression with non-parametric modeling of Fourier coefficients

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric regression with long-range dependence
• Nonparametric regression estimation with general parametric error covariance
• Trends and random walks in macroeconomic time series
• Time series: theory and methods.
• Large-sample inference for nonparametric regression with dependent errors
• Function estimation via wavelet shrinkage for long-memory data
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
• ON STATIONARY PROCESSES IN THE PLANE
• Nonparametric regression with dependent errors