Vector distributed lag models with smoothness priors

DOI10.1016/0167-9473(90)90058-PMaRDI QIDQ1896100zbMATH OpenOpenAlexFDO

Authors Wolfgang Polasek

Publication date 17 August 1995

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(90)90058-p

zbMATH Keywords

Bayesian hierarchical modelsBayesian information criterionsmoothness priorsposterior-imputation resampling algorithm

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cites work

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• scientific article; zbMATH DE number 3390151 (Why is no real title available?)
• scientific article; zbMATH DE number 3405374 (Why is no real title available?)
• A Distributed Lag Estimator Derived from Smoothness Priors
• Sampling-Based Approaches to Calculating Marginal Densities
• Seasonal Variability in a Distributed Lag Model
• Some results on multivariate autoregressive index models
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(11)

• A linearly distributed lag estimator with \(r\)-convex coefficients
• On distributed-lag modeling algorithms by \(r\)-convexity and piecewise monotonicity
• A Penalized Framework for Distributed Lag Non-Linear Models
• Bayesian Distributed Lag Models: Estimating Effects of Particulate Matter Air Pollution on Daily Mortality
• scientific article; zbMATH DE number 3862302 (Why is no real title available?)
• The ARAR Error Model for Univariate Time Series and Distributed Lag
• Revisiting distributed lag models through a Bayesian perspective
• An algorithm for distributed lag estimation subject to piecewise monotonic coefficients
• An examination of distributed lag model coefficients estimated with smoothness priors
• scientific article; zbMATH DE number 3994865 (Why is no real title available?)
• A Bayesian estimation of lag lengths in distributed lag models

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