Time‐varying autoregressions with model order uncertainty

DOI10.1111/1467-9892.00280zbMath1062.62201OpenAlexW3125740183MaRDI QIDQ4677011

Gabriel Huerta, Raquel Prado

Publication date: 20 May 2005

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00280

zbMATH Keywords

Markov chainmodel uncertaintydynamic linear modeltime series decompositionstime-varying autoregressions

Mathematics Subject Classification ID

Related Items (9)

Dynamics \& sparsity in latent threshold factor models: a study in multivariate EEG signal processing ⋮ Time-varying vector autoregressive models with stochastic volatility ⋮ Trend of commodity prices and exchange rate in Australian economy: time varying parameter model approach ⋮ Dynamic modeling of mean-reverting spreads for statistical arbitrage ⋮ Bayesian non-parametric signal extraction for Gaussian time series ⋮ Multivariate time series modeling and classification via hierarchical VAR mixtures ⋮ A Bayesian analysis of moving average processes with time-varying parameters ⋮ Time-varying parameter auto-regressive models for autocovariance nonstationary time series ⋮ AdaptSPEC: Adaptive Spectral Estimation for Nonstationary Time Series

Cites Work

• Smoothness priors analysis of time series
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Maximum a posteriori sequence estimation using Monte Carlo particle filters

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