scientific article; zbMATH DE number 1522694

zbMATH Open0974.62066MaRDI QIDQ4510962FDOQ4510962

Authors: Omar Aguilar, Gabriel Huerta, Raquel Prado, Mike West 

Publication date: 16 December 2001

Title of this publication is not available (Why is that?)

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zbMATH Keywords

non-stationary time seriesdynamic factor modelsmultiple time seriesmultivariate stochastic volatilitydynamic linear modelstime series decompositiontime-varying autoregression

Mathematics Subject Classification ID

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

Cited In (12)

• Exploring common structure in multiple time series via structured priors for autoregressive processes
• Descriptive matrix factorization for sustainability. Adopting the principle of opposites
• Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing
• Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions
• Bayesian Forecasting of Many Count-Valued Time Series
• Priors and Component Structures in Autoregressive Time Series Models
• Skew selection for factor stochastic volatility models
• A Bayesian analysis of moving average processes with time-varying parameters
• Bayes Nets of Time Series: Stochastic Realizations and Projections
• IMPROVING THE COMPUTATIONAL EFFICIENCY OF THE BAYESIAN DECOMPOSITION OF A TIME SERIES: A COMMENT
• Structured priors for multivariate time series
• Title not available (Why is that?)

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