Bayesian estimation of an autoregressive model using Markov chain Monte Carlo

Journal of Econometrics

Volumn 74, Issue 2, 1996, Pages 237-254

  Barnett, Glen ^a   Kohn, Robert ^a   Sheather, Simon ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Gibbs sampler; Metropolis algorithm; Missing data; Order selection; Outliers

Indexed keywords

EID: 0002061759     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(95)01744-5     Document Type: Article

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