bayesian-var

bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling
R and Python package for Bayesian multivariate time series modeling referring to Kim and Baek (2023), et cetera.
Last updated on Jan 4, 2025 code
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bvhar: Bayesian Vector Heterogeneous Autoregressive Modeling
Bayesian Vector Heterogeneous Autoregressive Modeling
Journal of Statistical Computation and Simulation
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Bayesian Vector Heterogeneous Autoregressive Modeling
Bayesian Approaches to High-Dimensional Long-Range-Dependent Time Series
Forecast high-dimensional long-memory time series using Bayesian Vector Heterogeneous Autoregressive (BVHAR) model
Last updated on Jan 4, 2025 project
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Bayesian Approaches to High-Dimensional Long-Range-Dependent Time Series