Bayesian Inference for Time Series with Stable Innovations

DOI10.1111/1467-9892.00088zbMath0906.62092OpenAlexW2062563598MaRDI QIDQ3838317

Ravishanker, Nalini, Zuqiang Qiou

Publication date: 9 August 1998

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00088

zbMATH Keywords

infinite varianceARMA processMetropolis-Hastings algorithmlinear time seriesposterior density

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (5)

Likelihood-free Bayesian inference for \(\alpha\)-stable models ⋮ Indirect Estimation of α-Stable Distributions and Processes ⋮ Fast approximate likelihood evaluation for stable VARFIMA processes ⋮ Indirect estimation of randomized generalized autoregressive conditional heteroskedastic models ⋮ Fast Bayesian estimation for VARFIMA processes with stable errors

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