Stick-breaking autoregressive processes
From MaRDI portal
Publication:737918
DOI10.1016/j.jeconom.2011.03.001zbMath1441.62709MaRDI QIDQ737918
Jim E. Griffin, Mark F. J. Steel
Publication date: 12 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.03.001
Bayesian nonparametrics; Dirichlet process; Poisson-Dirichlet process; time-dependent nonparametrics
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
62F15: Bayesian inference
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