Bayesian analysis of the functional-coefficient autoregressive heteroscedastic model

DOI10.1214/14-BA865MaRDI QIDQ899028zbMATH OpenWikidataFDO

Authors Jing-Heng Cai, Xin-Yuan Song, Xiang-Nan Feng, Xuejun Jiang

Publication date 21 December 2015

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1401148313

zbMATH Keywords

nonlinear time seriesBayes factorBayesian P-splinesMCMC methodsautoregressive heteroscedastic models

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(3)

• Functional-coefficient regression models with GARCH errors
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Uses Software

• BayesDA

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