Large Bayesian VARs : a flexible Kronecker error covariance structure
Year of publication: |
2020
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Authors: | Chan, Joshua |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 38.2020, 1, p. 68-79
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Subject: | ARMA | Forecasting | Non-Gaussian | Stochastic volatility. | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory |
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