Stationary Autoregressive Models via a Bayesian Nonparametric Approach

DOI10.1111/J.1467-9892.2005.00429.XMaRDI QIDQ5487363zbMATH OpenOpenAlexFDO

Authors Ramsés H. Mena, Stephen G. Walker

Publication date 19 September 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00429.x

zbMATH Keywords

discrete autoregressive time serieslogistic normal processone-step ahead predictive density

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A density function connected with a non-negative self-decomposable random variable
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• scientific article; zbMATH DE number 274379 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Lorenz ranking of income distributions
• Random Bernstein Polynomials
• Stationary Time Series Models with Exponential Dispersion Model Margins

Cited in

(20)

• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
• A Bayesian nonparametric Markovian model for non-stationary time series
• Bayesian time series regression with nonparametric modeling of autocorrelation
• Bayesian consistency for a nonparametric stationary Markov model
• A Bayesian nonparametric approach to modeling market share dynamics
• On a flexible construction of a negative binomial model
• Bayesian consistency for Markov models
• Claims reserving: A correlated Bayesian model
• Bayesian consistency for stationary models
• Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective
• Exchangeable claim sizes in a compound Poisson-type process
• On the construction of stationary AR(1) models via random distributions
• A nonparametric model for stationary time series
• scientific article; zbMATH DE number 4041110 (Why is no real title available?)
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• A BAYESIAN APPROACH TO ESTIMATING AND FORECASTING ADDITIVE NONPARAMETRIC AUTOREGRESSIVE MODELS
• Poisson-Driven Stationary Markov Models
• Gamma-Driven Markov Processes and Extensions with Application to Realized Volatility
• A simple class of Bayesian nonparametric autoregression models
• Stationary mixture transition distribution (MTD) models via predictive distributions

Describes a project that uses

Uses Software

• sm
• Ox

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