Bayesian semiparametric double autoregressive modeling

DOI10.1155/2019/4267532MaRDI QIDQ2298423zbMATH OpenOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/4267532

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

Summary: This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is valuable and competitive.

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Cited in

(5)

• Bayesian analysis of double seasonal autoregressive models
• A quadratic interpolation-based variational Bayesian algorithm for measurement information lost in underwater navigation
• A Bayesian semiparameteric analysis of ARCH models
• Bayesian inference on double seasonal autoregressive models
• Quantile double AR time series models for financial returns

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