Bayesian Analysis of Nonlinear Autoregression Models Based on Neural Networks

DOI10.1162/0899766053011537MaRDI QIDQ5696499zbMATH OpenOpenAlexFDO

Authors A. Menchero, R. Montes Diez, David Ríos Insua, P. Müller

Publication date 18 October 2005

Published in Neural Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1162/0899766053011537

zbMATH Keywords

Markov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

Cited in

(8)

• Neural network-based models of binomial time series in data analysis problems
• Bayesian learning for recurrent neural networks
• Neural Network Models for Conditional Distribution Under Bayesian Analysis
• Efficient estimation of average derivatives in NPIV models: simulation comparisons of neural network estimators
• Adaptive deep learning for nonlinear time series models
• Neural networks and nonlinear statistical methods: An application to the modelling of price-quality relationships
• Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises
• On the Consistency of the Blocked Neural Network Estimator in Time Series Analysis

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