Bayesian Autoregressive Modeling
版本 1.0.0.0 (457.7 KB) 作者:
Enrique M. Quilis
Specification and estimation of Bayesian univariate autoregressive models.
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.
引用格式
Enrique M. Quilis (2024). Bayesian Autoregressive Modeling (https://www.mathworks.com/matlabcentral/fileexchange/26955-bayesian-autoregressive-modeling), MATLAB Central File Exchange. 检索来源 .
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1.0.0.0 |