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Priors and component structures in autoregressive time series models

โœ Scribed by G. Huerta; M. West


Book ID
108547521
Publisher
Blackwell Publishing
Year
1999
Tongue
English
Weight
481 KB
Volume
61
Category
Article
ISSN
0952-8385

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Subset selection of autoregressive time
โœ Cathy W. S. Chen ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 155 KB ๐Ÿ‘ 2 views

We propose a solution to select promising subsets of autoregressive time series models for further consideration which follows up on the idea of the stochastic search variable selection procedure in . It is based on a Bayesian approach which is unconditional on the initial terms. The autoregression