Bayesian time series regression with nonparametric modeling of autocorrelation

DOI10.1007/S00180-018-0796-9MaRDI QIDQ1729307zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Gaussian process priorautocorrelation functionWhittle likelihoodBayesian framework

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 48302 (Why is no real title available?)
• scientific article; zbMATH DE number 1085990 (Why is no real title available?)
• scientific article; zbMATH DE number 1086083 (Why is no real title available?)
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Function estimation via wavelet shrinkage for long-memory data
• Large-sample inference for nonparametric regression with dependent errors
• MORE EFFICIENT ESTIMATION IN NONPARAMETRIC REGRESSION WITH NONPARAMETRIC AUTOCORRELATED ERRORS
• Nonparametric regression estimation with general parametric error covariance
• Nonparametric regression with dependent errors
• Nonparametric regression with long-range dependence
• ON STATIONARY PROCESSES IN THE PLANE
• Time series: theory and methods.
• Trends and random walks in macroeconomic time series

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

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