Some recent developments in Markov Chain Monte Carlo for cointegrated time series

DOI10.1051/proc/201759076zbMath1384.62291OpenAlexW2742985629MaRDI QIDQ4606423

Nikolas Kantas, MacIej Marowka, Gareth W. Peters, Guillaume Bagnarosa

Publication date: 7 March 2018

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201759076

zbMATH Keywords

Markov chain Monte CarloBayesian inferencemultivariate time seriescointegrated time series

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)

Related Items

Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds

Uses Software

• rstiefel

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Bayesian point estimation of the cointegration space
• A fresh variational-analysis look at the positive semidefinite matrices world
• Exponentials of skew-symmetric matrices and logarithms of orthogonal matrices
• Statistical analysis of cointegration vectors
• Forecasting and testing in co-integrated systems
• Uniform distribution on a Stiefel manifold
• A distance measure between cointegration spaces
• Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
• Bayesian analysis of the error correction model
• Geometric measure theory.
• Bayesian learning for neural networks
• Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
• Model selection and adaptive Markov chain Monte Carlo for Bayesian cointegrated VAR models
• Geodesic Monte Carlo on Embedded Manifolds
• Optimal Inference in Cointegrated Systems
• A survey of direct time-integration methods in computational structural dynamics—II. Implicit methods
• Efficient Posterior Simulation for Cointegrated Models with Priors on the Cointegration Space
• Bayesian inference in a cointegrating panel data model☆
• Objective Bayesian analysis for the Student-t regression model
• On scale mixtures of normal distributions
• Testing for Common Trends
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Multivariate Student-t regression models: Pitfalls and inference
• Procrustes analysis on some special manifolds
• The Geometry of Algorithms with Orthogonality Constraints
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• Geometric numerical integration illustrated by the Störmer–Verlet method
• Bayesian Orthogonal Component Analysis for Sparse Representation
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• BAYESIAN REFERENCE ANALYSIS OF COINTEGRATION
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
• Identifying Cointegration by Eigenanalysis
• Geometric Numerical Integration
• Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
• A general class of multivariate skew-elliptical distributions
• Matrix variate Kummer-Dirichlet distributions
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models