A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS

DOI10.1111/J.1467-9892.1996.TB00273.XMaRDI QIDQ4881708zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chain Monte Carlononlinear time seriesstate space modelGibbs samplerexact algorithmBayesian approachmissing observationsspline smoothingadaptive autoregressive modelcubic smoothing splinesinnovation outliersmultistep ahead forecastsregression curve estimates

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 47282 (Why is no real title available?)
• Estimating Optimal Transformations for Multiple Regression and Correlation
• Inference from iterative simulation using multiple sequences
• Markov chains for exploring posterior distributions. (With discussion)
• Minimizing GCV/GML Scores with Multiple Smoothing Parameters via the Newton Method
• Nonlinear Modeling of Time Series Using Multivariate Adaptive Regression Splines (MARS)
• Nonparametric Identification of Nonlinear Time Series: Projections
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
• Sampling-Based Approaches to Calculating Marginal Densities
• The Performance of Cross-Validation and Maximum Likelihood Estimators of Spline Smoothing Parameters

Cited in

(8)

• Autoregressive density modeling with the Gaussian process mixture transition distribution
• Semiparametric approximation methods in multivariate model selection
• Bayesian backfitting. (With comments and a rejoinder).
• Model specification tests in nonparametric stochastic regression models
• A simple class of Bayesian nonparametric autoregression models
• scientific article; zbMATH DE number 1751996 (Why is no real title available?)
• Bayesian inference of autoregressive and functional-coefficient moving average models
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach

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