Bayesian Nonparametric Vector Autoregressive Models

Bayesian Estimates for Vector - Autoregressive Models

This paper examines frequentist risks of Bayesian estimates of VAR regression coefficient and error covariance matrices under competing loss functions, under a variety of non-informative priors, and in the normal and Student-t models. Simulation results show that for the regression coefficient matrix an asymmetric LINEX estimator does better overall than the posterior mean. For the error covari...

Bayesian averaging of classical estimates in asymmetric vector autoregressive models

Vector Autoregressive Models

On nonergodicity for nonparametric autoregressive models

*Correspondence: [email protected] School of Science, Jiangxi University of Science and Technology, Ganzhou, 341000, China Abstract In this paper, we introduce a class of nonlinear time series models with random time delay under random environment, sufficient conditions for nonergodicity of these models are developed. The so-called Markovnization methods are used, that is, proper supplem...

Bayesian Mixtures of Autoregressive Models

In this paper we propose a class of time-domain models for analyzing possibly nonstationary time series. This class of models is formed as a mixture of time series models, whose mixing weights are a function of time. We consider specifically mixtures of autoregressive models with a common but unknown lag. To make the methodology work we show that it is necessary to first partition the data into...