Bayesian Nonparametric Vector Autoregressive Models

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2015 United Kingdom English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Kalli, M; Griffin, JE;

doi: 10.2139/ssrn.2665709 , 10.1016/j.jeconom.2017.11.009

Bayesian Nonparametric Vector Autoregressive Models

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Abstract

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Country

United Kingdom

Related Organizations

University of Kent
United Kingdom
King's College London
United Kingdom
Canterbury Christ Church University
United Kingdom
University College London
United Kingdom

Keywords

Dirichlet process prior, Economic time series analysis, Markov chain Monte Carlo, Time series, auto-correlation, regression, etc. in statistics (GARCH), Bayesian inference, QA276, Nonparametric regression and quantile regression, infinite mixtures, Applications of statistics to economics, vector autoregressive models

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