Structured priors for multivariate time series

DOI10.1016/J.JSPI.2005.02.025zbMATH Open1103.62083OpenAlexW2056436141MaRDI QIDQ2500641FDOQ2500641

Authors: Gabriel Huerta, Raquel Prado 

Publication date: 17 August 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.02.025

Recommendations

• Exploring common structure in multiple time series via structured priors for autoregressive processes
• Priors and Component Structures in Autoregressive Time Series Models
• Bayesian analysis of autoregressive moving average processes with unknown orders
• Bayesian Identification of Multivariate Autoregressive Processes
• scientific article; zbMATH DE number 1522694

zbMATH Keywords

VAR modelsdecompositionsmultiple time seriesautoregressionsstructured priorslatent componentsmodel order uncertainty

Mathematics Subject Classification ID

Bayesian inference (62F15) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to social sciences (62P25)

Cites Work

• Elements of multivariate time series analysis.
• Bayesian forecasting and dynamic models.
• Estimation of a covariance matrix using the reference prior
• Smoothness priors analysis of time series
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bayesian inference on periodicities and component spectral structure in time series
• Priors and Component Structures in Autoregressive Time Series Models
• Title not available (Why is that?)
• Miscellanea. Time series decomposition

Cited In (5)

• Exploring common structure in multiple time series via structured priors for autoregressive processes
• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Time-varying vector autoregressive models with stochastic volatility
• Priors and Component Structures in Autoregressive Time Series Models
• Multivariate time series modeling and classification via hierarchical VAR mixtures

This page was built for publication: Structured priors for multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2500641)