Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
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Publication:2635212
DOI10.1214/10-BA51zbMath1330.65022arXiv1004.3830MaRDI QIDQ2635212
Ben Lasscock, Gareth W. Peters, B. Kannan, Chris Mellen
Publication date: 11 February 2016
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.3830
Statistical methods; risk measures (91G70) Bayesian inference (62F15) Sampling theory, sample surveys (62D05) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)
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