Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
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Publication:2722252
DOI10.1111/1467-9892.00212zbMath0966.62063MaRDI QIDQ2722252
Publication date: 11 July 2001
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00212
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
62C12: Empirical decision procedures; empirical Bayes procedures
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