A note on a Bayesian order determination procedure for vectorautoregressive processes

Statistical Papers

Volumn 39, Issue 2, 1998, Pages 213-221

  Heintel, Markus ^a  

^a UNIVERSITY OF MUNICH   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0542374074     PISSN: 09325026     EISSN: None     Source Type: Journal    
DOI: 10.1007/bf02925408     Document Type: Article

References (8)

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3. Carlin, B. P. & T. A. Louis (1996), Bayes and Empirical Bayes Methods for Data Analysis. London: Chapman & Hall.
4. Chib, S. (1995). Marginal Likelihood from the Gibbs Output. Journal of the American Statistical Association 90, 1313-1321.
5. Kass, R. A. & A. F. Raftery (1995). Bayes Factors. Journal of the American Statistical Association 90, 773-795.
6. Lütkepohl, H. (1991). Introduction to Multiple Time Series Analysis. New York: Springer.
7. Poirier, D. (1995). Intermediate Statistics and Econometrics. Cambridge: MIT-Press.
8. Schwarz, G. (1978). Estimating the Dimension of a Model. Annals of Statistics 6, 461-464.