A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
DOI10.1111/J.1467-9892.1996.TB00273.XzbMATH Open0845.62068OpenAlexW2046690762MaRDI QIDQ4881708FDOQ4881708
Authors: 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
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Cites Work
- Inference from iterative simulation using multiple sequences
- Title not available (Why is that?)
- Markov chains for exploring posterior distributions. (With discussion)
- Sampling-Based Approaches to Calculating Marginal Densities
- Estimating Optimal Transformations for Multiple Regression and Correlation
- Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
- Nonparametric Identification of Nonlinear Time Series: Projections
- Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
- Minimizing GCV/GML Scores with Multiple Smoothing Parameters via the Newton Method
- The Performance of Cross-Validation and Maximum Likelihood Estimators of Spline Smoothing Parameters
Cited In (8)
- Title not available (Why is that?)
- Bayesian inference of autoregressive and functional-coefficient moving average models
- A simple class of Bayesian nonparametric autoregression models
- Stationary Autoregressive Models via a Bayesian Nonparametric Approach
- Model specification tests in nonparametric stochastic regression models
- Semiparametric approximation methods in multivariate model selection
- Autoregressive density modeling with the Gaussian process mixture transition distribution
- Bayesian backfitting. (With comments and a rejoinder).
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