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Bayesian Autoregressive Modeling 1.0

  Date Added: May 01, 2013  |  Visits: 174

Bayesian Autoregressive Modeling

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The priors may be: Litterman random walk plus drift prior; Raynauld-Simonato seasonal random walk plus drift prior or Canova prior: seasonal and non-seasonal unit roots via stochastic constraints + Litterman prior. Combination is achieved using Theil-Goldberger mixed estimation.Estimation uses Theil-Goldberger mixed procedure or OLS.Calibration may be performed using axial search.Analytics based on the AR filter.

Requirements: No special requirements
Platforms: Matlab
Keyword: Analytics Based Calibration Estimation Filter Mixed Performed Procedure Theilgoldberger
Users rating: 0/10

License: Shareware Size: 460.8 KB
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