A Bayesian Non-Parametric Dynamic AR Model for Multiple Time Series Analysis

DOI10.1111/jtsa.12182zbMath1396.62215OpenAlexW2497849826MaRDI QIDQ2817314

Luis E. Nieto-Barajas, Fernando A. Quintana

Publication date: 30 August 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12182

zbMATH Keywords

latent variablestime series analysisbeta processmedian regressionBayes non-parametricsdependent Polya tree

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Bayesian inference (62F15)

Related Items (3)

Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Joint reconstruction and prediction\break of random dynamical systems under\break borrowing of strength ⋮ Bayesian nonparametric sparse VAR models

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