Bayesian Analysis of Time Series Regressions with Multivariate t Autoregressive Errors

Tsung-I Lin

《中國統計學報》 44卷2期 (2006/06) Pp. 108-129

https://doi.org/10.29973/JCSA.200606.0001

並列摘要

We consider a Bayesian approach to the regression model with autoregressive multivariate t errors in which the conditional variance satisfies a type of generalized autoregressive conditionally heteroscedastic model. We present the approximate Bayesian posterior and predictive inferences under a non-informative prior. Markov chain Monte Carlo computational schemes are also developed for computing the posterior uncertainties of parameters. To enhance the computational efficiency, we provide a fast computation method of obtaining the inverse autocorrelation matrix of an AR(p) process. A real data example for the U.S. monthly Treasury constant maturity rates is used to demonstrate our methodologies.

並列關鍵字

Approximate Bayesian ； conditional variance ； MCMC ； predictive cistribution ； reparameterization

參考文獻

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