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

DOI10.1016/J.SPL.2014.12.012MaRDI QIDQ2018621zbMATH OpenOpenAlexWikidataFDO

Authors Yuewen Xiao, Yu-Cheng Ku, Peter Bloomfield, Sujit K. Ghosh

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

degrees of freedomGyndikin's theoremMarkov chain Monte Carlosensitivity analysisWishart distribution

Mathematics Subject Classification ID

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

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Cites work

• A double inequality for the trigamma function and its applications
• A flexible observed factor model with separate dynamics for the factor volatilities and their correlation matrix
• A note about measures and Jacobians of singular random matrices
• Applied multivariate statistical analysis.
• Factor Multivariate Stochastic Volatility via Wishart Processes
• scientific article; zbMATH DE number 1963107 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• Pattern recognition and machine learning.
• PRMLT
• Singular Wishart and multivariate beta distributions
• The complex Wishart distribution and the symmetric group
• The structure of dynamic correlations in multivariate stochastic volatility models

Cited in

(1)

• A weak characterization of real Wishart matrices by quadratic forms

Describes a project that uses

Uses Software

• PRMLT
• Ox

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