Periodic autoregressive models with closed skew-normal innovations

DOI10.1007/s00180-019-00893-zzbMath1505.62272OpenAlexW2944763473WikidataQ127926257 ScholiaQ127926257MaRDI QIDQ2319487

A. R. Nematollahi, T. Manouchehri

Publication date: 19 August 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-019-00893-z

zbMATH Keywords

noninformative priorsMCMC algorithmsMAP estimateVAR modelsBayesian approachhit-and-run samplerclosed skew-normalECM algorithmsPAR models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models

Uses Software

• partsm

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