Some recent developments in Markov Chain Monte Carlo for cointegrated time series
We consider multivariate time series that exhibit reduced rank cointegration, which means a lower dimensional linear projection of the process becomes stationary. We will review recent suitable Markov Chain Monte Carlo approaches for Bayesian inference such as the Gibbs sampler of [41] and the Geode...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2017-01-01
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| Series: | ESAIM: Proceedings and Surveys |
| Online Access: | https://doi.org/10.1051/proc/201759076 |