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Modeling Non-Gaussian Time Series with Nonparametric Bayesian Model

✍ Scribed by Xu, Zhiguang; MacEachern, Steven; Xu, Xinyi

Book ID: 126481818
Publisher: IEEE
Year: 2015
Tongue: English
Weight: 465 KB
Volume: 37
Category: Article
ISSN: 0162-8828
DOI: 10.1109/TPAMI.2013.222

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## Abstract A first order autoregressive non‐Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus allowing for outliers and asymmetries. The modelling approach is designed to gain sufficient flexibility, wit