Robust Bayesian analysis of an autoregressive model with exponential innovations

MaRDI QIDQ726682zbMATHFDO

Authors Lydia Larbi, H. Fellag

Publication date 13 July 2016

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.as/1468344420

zbMATH Keywords

Bayesestimationrobustnessautoregressive processloss functionexponential

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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(4)

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• Robust Autoregression: Student-t Innovations Using Variational Bayes
• scientific article; zbMATH DE number 1843499 (Why is no real title available?)
• Bayesian estimation for first-order autoregressive model with explanatory variables

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