Bayesian Estimation of Autoregressive Models with Exogenous Variables Under Scale-Mixtures of Normal Errors

Autoregressive models with exogenous variables (ARX) constitute a fundamental class of dynamic regression models used extensively for time series analysis across a wide range of applications. A pervasive limitation of the existing Bayesian analyses of ARX models is their near-exclusive reliance on t...

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Auteurs principaux:	Ayman A. Amin, Shuhrah A. Alghamdi
Format:	Artigo
Langue:	Inglês
Publié:	MDPI AG 2026-06-01
Collection:	Mathematics
Sujets:	posterior analysis data augmentation MCMC Metropolis-Hastings Gibbs sampler robust Bayesian inference
Accès en ligne:	https://www.mdpi.com/2227-7390/14/12/2188
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