BayVAR: Bayesian Vector of Autoregressions

版本 1.0.0.0 (1.1 MB) 作者: Enrique M. Quilis
VAR modeling with
0.0
(0)
427.0 次下载
更新时间 2018/4/22

查看许可证

BayVAR is a MATLAB library designed to estimate and analyze Vector Autoregressive (VAR) models from a Bayesian perspective. BayVAR performs unrestricted as well as Bayesian estimation, using several types of priors (Minnesota/Litterman, Canova, Raynauld-Simonato, ...). Calibration of the hyperparameters by axial search is also included as well as forecasting and canonical (Box-Tiao) analysis.

引用格式

Enrique M. Quilis (2024). BayVAR: Bayesian Vector of Autoregressions (https://www.mathworks.com/matlabcentral/fileexchange/67032-bayvar-bayesian-vector-of-autoregressions), MATLAB Central File Exchange. 检索来源 .

MATLAB 版本兼容性
创建方式 R2017a
兼容任何版本
平台兼容性
Windows macOS Linux
类别
在 Help Center 和 MATLAB Answers 中查找有关 Conditional Mean Models 的更多信息

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

版本 已发布 发行说明
1.0.0.0