Bayesian time series regression with nonparametric modeling of autocorrelation
DOI10.1007/S00180-018-0796-9zbMATH Open1417.62076OpenAlexW2793990278MaRDI QIDQ1729307FDOQ1729307
Authors: Tanujit Dey, Kun Ho Kim, C. Y. Lim 
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
Recommendations
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Bayesian Models for Non‐linear Autoregressions
- A simple class of Bayesian nonparametric autoregression models
- Stationary Autoregressive Models via a Bayesian Nonparametric Approach
- Bayesian estimation of a time varying parameter autoregression model
- Bayesian inference for nonlinear structural time series models
- Bayesian estimation of autoregressive models with time-varying coefficients
- Bayesian time-varying autoregressions: Theory, methods and applications.
Bayesian inference (62F15) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Time series: theory and methods.
- ON STATIONARY PROCESSES IN THE PLANE
- Title not available (Why is that?)
- Nonparametric regression with long-range dependence
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Title not available (Why is that?)
- Large-sample inference for nonparametric regression with dependent errors
- Trends and random walks in macroeconomic time series
- MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
- Nonparametric regression estimation with general parametric error covariance
- Function estimation via wavelet shrinkage for long-memory data
- Nonparametric regression with dependent errors
- Title not available (Why is that?)
Cited In (6)
- BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
- Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
- A simple class of Bayesian nonparametric autoregression models
- Stationary Autoregressive Models via a Bayesian Nonparametric Approach
- Spatial regression with non-parametric modeling of Fourier coefficients
- Bayesian monitoring of local residual autocorrelations taking into account the run-length
This page was built for publication: Bayesian time series regression with nonparametric modeling of autocorrelation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1729307)
