Power-weighted densities for time series data

DOI10.1214/15-AOAS893zbMath1359.62393arXiv1412.4059MaRDI 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 analysis; forecasting; finance; power prior

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Uses Software

• dlm
• BayesDA