Bayesian averaging of classical estimates in asymmetric vector autoregressive models

DOI10.1080/03610918.2015.1011335MaRDI QIDQ5267872zbMATH OpenOpenAlexFDO

Authors Manuel Leonard F. Albis, Dennis S. Mapa

Publication date 13 June 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1011335

zbMATH Keywords

AVARBACEforecastingrobustness procedures

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(2)

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths
• Model averaging based on leave-subject-out cross-validation for vector autoregressions

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