On the degrees of freedom in MCMC-based Wishart models for time series data

DOI10.1016/j.spl.2014.12.012zbMath1321.62090OpenAlexW1997473164WikidataQ57438311 ScholiaQ57438311MaRDI QIDQ2018621

Yuewen Xiao, Sujit Kumar Ghosh, Yu-Cheng Ku, Peter Bloomfield

Publication date: 24 March 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.12.012

zbMATH Keywords

sensitivity analysisMarkov chain Monte CarloWishart distributiondegrees of freedomGyndikin's theorem

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

A weak characterization of real Wishart matrices by quadratic forms

Uses Software

• Ox
• PRMLT

Cites Work

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• The structure of dynamic correlations in multivariate stochastic volatility models
• PRMLT
• The complex Wishart distribution and the symmetric group
• Singular Wishart and multivariate beta distributions
• A double inequality for the trigamma function and its applications
• A note about measures and Jacobians of singular random matrices
• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• Factor Multivariate Stochastic Volatility via Wishart Processes

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