Some recent developments in Markov Chain Monte Carlo for cointegrated time series
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Publication:4606423
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
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05)
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