A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS

DOI10.1111/j.1467-9892.1996.tb00273.xzbMath0845.62068OpenAlexW2046690762MaRDI QIDQ4881708

Chi-ming Wong, Robert Kohn

Publication date: 22 September 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00273.x

zbMATH Keywords

Markov chain Monte Carlomissing observationsGibbs samplernonlinear time seriesexact algorithmstate space modelBayesian approachspline smoothingadaptive autoregressive modelcubic smoothing splinesinnovation outliersmultistep ahead forecastsregression curve estimates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Semiparametric approximation methods in multivariate model selection, Autoregressive density modeling with the Gaussian process mixture transition distribution, Bayesian backfitting. (With comments and a rejoinder)., Model specification tests in nonparametric stochastic regression models

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