Autoregression with Non-Gaussian Innovations

被引:5
作者
Cai, Yuzhi [1 ]
机构
[1] Univ Plymouth, Plymouth, Devon, England
关键词
Bayesian method; quantile function; non-Gaussian time series; simulation; parametric and semi-parametric approaches;
D O I
10.2202/1941-1928.1016
中图分类号
O1 [数学]; C [社会科学总论];
学科分类号
03 ; 0303 ; 0701 ; 070101 ;
摘要
Many economics and finance time series are non-Gaussian. In this paper, we propose a Bayesian approach to non-Gaussian autoregressive time series models via quantile functions. This approach is parametric, so we also compare the proposed parametric approach with a semi-parametric approach. Simulation studies and applications to real time series show that this method works very well.
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页数:17
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