PARAMETER-ESTIMATION OF TIME-VARYING AUTOREGRESSIVE MODELS USING THE GIBBS SAMPLER

Authors
RAJAN JJ RAYNER PJW
Citation
Jj. Rajan et Pjw. Rayner, PARAMETER-ESTIMATION OF TIME-VARYING AUTOREGRESSIVE MODELS USING THE GIBBS SAMPLER, Electronics Letters, 31(13), 1995, pp. 1035-1036
Citations number
6
Categorie Soggetti
Engineering, Eletrical & Electronic
Journal title
Electronics Letters → ACNP
ISSN journal
00135194
Volume
31
Issue
13
Year of publication
1995
Pages
1035 - 1036
Database
ISI
SICI code
0013-5194(1995)31:13<1035:POTAMU>2.0.ZU;2-J
Abstract
A method is described for applying a Markov chain Monte Carlo method k nown as the Gibbs sampler to the problem of estimating the parameters of a flexible time-varying autoregressive (TVAR) model with time depen dent coefficients that are stationary stochastic processes.