Stick-breaking autoregressive processes

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

zbMATH Keywords

Bayesian nonparametrics; Dirichlet process; Poisson-Dirichlet process; time-dependent nonparametrics

Mathematics Subject Classification ID

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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