Structured priors for multivariate time series

DOI10.1016/J.JSPI.2005.02.025MaRDI QIDQ2500641zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1233799 (Why is no real title available?)
• scientific article; zbMATH DE number 1522694 (Why is no real title available?)
• scientific article; zbMATH DE number 811061 (Why is no real title available?)
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data
• Bayesian forecasting and dynamic models.
• Bayesian inference on periodicities and component spectral structure in time series
• Elements of multivariate time series analysis.
• Estimation of a covariance matrix using the reference prior
• Miscellanea. Time series decomposition
• Priors and Component Structures in Autoregressive Time Series Models
• Smoothness priors analysis of time series

Cited in

(5)

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

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