Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices-Reference-Cited by-同舟云学术

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Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices

Published:2019-04-03 Issue:8 Volume:49 Page:1801-1817
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Wichitaksorn Nuttanan¹²³

Affiliation:

1. Mathematical Sciences Department, Auckland University of Technology, Auckland, New Zealand;

2. School of Mathematics and Statistics, University of Canterbury, Christchurch, New Zealand;

3. Thailand Development Research Institute, Bangkok, Thailand

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1565832

Reference28 articles.

1. Matrix Algebra

2. Large Bayesian vector auto regressions

3. ESTIMATING MULTICOUNTRY VAR MODELS

4. STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE

5. Sources and propagation of international output cycles: Common shocks or transmission?

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1. A New Class of Bayes Minimax Estimators of the Mean Matrix of a Matrix Variate Normal Distribution;Mathematics;2024-04-05

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