Stochastic Multivariate Mixture Covariance Model

DOI10.1002/FOR.2419zbMath1397.62435OpenAlexW2512685857MaRDI QIDQ4687595

Yue Jiang, Mike K. P. So, Raymond W. M. Li, Manabu Asai

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2419

zbMATH Keywords

Bayesian model selectionMCMC samplingmixture modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84)

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