Bayesian Approaches to High-Dimensional Long-Range-Dependent Time Series

Authors

Changryong Baek, Young Geun Kim

Date

June 2022

Links

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This research project develops Bayesian econometrics model that shares prior with Bayesian VAR (VAR). It aims at extending them to Vector heterogeneous autoregressive (VHAR) model.

Related papers

Kim, Young Geun, and Changryong Baek. 2024. “Bayesian Vector Heterogeneous Autoregressive Modeling.” Journal of Statistical Computation and Simulation 94 (6): 1139–57. https://doi.org/10.1080/00949655.2023.2281644.