Bayesian averaging of classical estimates in asymmetric vector autoregressive models

DOI10.1080/03610918.2015.1011335zbMATH Open1364.62225OpenAlexW2001168511MaRDI QIDQ5267872FDOQ5267872

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

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zbMATH Keywords

forecastingAVARBACErobustness procedures

Mathematics Subject Classification ID

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

Cited In (1)

• Bayesian learning of graphical vector autoregressions with unequal lag-lengths

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