Robust Bayesian analysis of an autoregressive model with exponential innovations

zbMATH Open1342.62150MaRDI QIDQ726682FDOQ726682

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

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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)

Cited In (4)

• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Robust Autoregression: Student-t Innovations Using Variational Bayes
• Bayesian estimation for first-order autoregressive model with explanatory variables
• Title not available (Why is that?)

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