BAYESIAN ANALYSIS OF ECONOMETRIC TIME SERIES MODELS USING HYBRID INTEGRATION RULES

DOI10.1081/STA-120002434zbMath0991.62094MaRDI QIDQ4540704

Dani Gamerman, Ajax R. Bello Moreira

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

zbMATH Keywords

dynamics; Metropolis-Hastings algorithm; hyperparameters

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62F15: Bayesian inference

91B84: Economic time series analysis

Related Items

Space-varying regression models: specifications and simulation, Hyperparameter estimation in forecast models., Multivariate spatial regression models, Efficient parallelisation of Metropolis-Hastings algorithms using a prefetching approach

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