Usage of different prior distributions in Bayesian vector autoregressive models

MaRDI QIDQ3635855zbMATH OpenFDO

Authors Volkan Seving, G. Ergün

Publication date 6 July 2009

zbMATH Keywords

Bayes' theoremBayesian approachBayesian vector autoregressive modelsprior distributionsvector autoregressive models

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Dynamical systems in optimization and economics (37N40) Bayesian problems; characterization of Bayes procedures (62C10) Bayesian inference (62F15)

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Cited in

(1)

• Sensitivity of priors in the presence of collinearity in vector autoregressive model: a Monte Carlo study

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