Comment on article by Windle and Carvalho

DOI10.1214/14-BA918MaRDI QIDQ899054zbMATH OpenFDO

Authors Roberto Casarin

Publication date 21 December 2015

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1416579177

zbMATH Keywords

state-space modelsstochastic volatilityexponential smoothingpositive-valued processes

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Positive matrices and their generalizations; cones of matrices (15B48)

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Cites work

• scientific article; zbMATH DE number 3954119 (Why is no real title available?)
• scientific article; zbMATH DE number 472985 (Why is no real title available?)
• scientific article; zbMATH DE number 1086061 (Why is no real title available?)
• A tractable state-space model for symmetric positive-definite matrices
• Bayesian Vector Autoregressions with Stochastic Volatility
• Bayesian analysis of matrix normal graphical models
• Bayesian forecasting and dynamic models.
• Bayesian portfolio selection with multi-variate random variance models
• Dynamic matrix-variate graphical models
• Forecasting with exponential smoothing. The state space approach
• Generalised density forecast combinations
• Multi-variate stochastic volatility modelling using Wishart autoregressive processes
• Optimal prediction pools
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility

Cited in

(6)

• Supergraph calculation of one-loop divergences in higher-derivative \(6D\) SYM theory
• One-loop \({\beta}\)-functions in 4-derivative gauge theory in 6 dimensions
• Comment on article by Windle and Carvalho
• Comment on article by Windle and Carvalho
• A tractable state-space model for symmetric positive-definite matrices
• On the relationship between uhlig extended and beta-Bartlett processes

Describes a project that uses

Uses Software

• expsmooth

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