Power-weighted densities for time series data

DOI10.1214/15-AOAS893zbMath1359.62393arXiv1412.4059OpenAlexW2277025452MaRDI QIDQ288591

F. Blanchet-Sadri, M. Dambrine

Publication date: 27 May 2016

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.4059

zbMATH Keywords

time series analysisforecastingfinancepower prior

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• dlm
• BayesDA

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