Dynamic matrix-variate graphical models
From MaRDI portal
Publication:5965211
DOI10.1214/07-BA204zbMath1331.62040MaRDI QIDQ5965211
Carlos Marinho Carvalho, Mike West
Publication date: 2 March 2016
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1340390064
Bayesian forecastingdynamic linear modelsGaussian graphical modelsgraphical model uncertaintyhyper-inverse Wishart distributionportfolio analysis
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Graphical methods in statistics (62A09)
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