Structural Learning with Time-Varying Components: Tracking the Cross-Section of Financial Time Series

DOI10.1111/j.1467-9868.2005.00504.xzbMath1071.62094OpenAlexW2113401388MaRDI QIDQ5313454

Makram Talih, Nicolas W. Hengartner

Publication date: 1 September 2005

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9868.2005.00504.x

zbMATH Keywords

Markov chain Monte CarloMarkov random fieldprecision matrixmultivariate stochastic volatilitycovariance selectiondynamical graphical model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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Cites Work

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• Markov properties of nonrecursive causal models
• Markov Chain Markov Field dynamics: Models and statistics
• Decomposable graphical Gaussian model determination
• Algorithms for Minimum Coloring, Maximum Clique, Minimum Covering by Cliques, and Maximum Independent Set of a Chordal Graph

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