A Bayesian Approach to Modelling Graphical Vector Autoregressions

DOI10.1111/J.1467-9892.2005.00460.XMaRDI QIDQ3440746zbMATH OpenOpenAlexFDO

Authors Jukka Corander, Mattias Villani

Publication date 29 May 2007

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

Full work available at URL http://www.riksbank.com/upload/WorkingPapers/WP_171.pdf

zbMATH Keywords

graphical vector autoregressionslag-length selectionmodelling

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Applications of statistics to economics (62P20)

Recommendations

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Structural learning of contemporaneous dependencies in graphical VAR models
• Graphical modelling of multivariate time series
• Constructing structural VAR models with conditional independence graphs
• High-dimensional posterior consistency in Bayesian vector autoregressive models

Cites work

• Bayesian assessment of dimensionality in reduced rank regression
• Bayesian graphical model determination using decision theory
• Decomposable graphical Gaussian model determination
• Fractional Bayesian lag length inference in multivariate autoregressive processes
• Graphical interaction models for multivariate time series.
• scientific article; zbMATH DE number 4211299 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• Learning Graphical Models for Stationary Time Series
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Markov chain Monte Carlo model determination for hierarchical and graphical log-linear models

Cited in

(6)

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Prior distributions for objective Bayesian analysis
• Empirical Bayesian learning in AR graphical models
• Structural learning of contemporaneous dependencies in graphical VAR models
• A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
• A new posterior sampler for Bayesian structural vector autoregressive models

This page was built for publication: A Bayesian Approach to Modelling Graphical Vector Autoregressions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3440746)