Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models-Reference-Cited by-同舟云学术

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Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models

Published:2023-05 Issue: Volume:181 Page:107690
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Sui Yuelei,Holan Scott H.,Yang Wen-Hsi

Funder

National Science Foundation

NSF

Air Force Research Laboratory

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference35 articles.

1. Time Series: Theory and Methods;Brockwell,2009

2. Time varying structural vector autoregressions and monetary policy: a corrigendum;Del Negro;Rev. Econ. Stud.,2015

3. Nonlinear Time Series: Nonparametric and Parametric Methods;Fan,2008

4. Bayesian Data Analysis;Gelman,2013

5. One channel at-a-time multichannel autoregressive modeling of stationary and nonstationary time series;Gersch,1994

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