Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers

DOI10.2307/2291388MaRDI QIDQ3128652zbMATH OpenOpenAlexFDO

Authors Nhu D. Le, Adrian E. Raftery, R. Douglas Martin

Publication date 18 September 1997

Full work available at URL https://doi.org/10.2307/2291388

zbMATH Keywords

Laplace approximationspectrumrobust filteringpredictive distributionsrobust likelihoodadditive outlierposterior probabilitiesrobust to outliersAR(k) modelsrobust Bayes factors

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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