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High-Dimensional Posterior Consistency in Bayesian Vector Autoregressive Models
Vector autoregressive (VAR) models aim to capture linear temporal interdependencies amongst multiple time series. They have been widely used in macroeconomics and financial econometrics and more recently have found novel applications in functional genomics and neuroscience. These applications have a...
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| Publicado no: | J Am Stat Assoc |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2018
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6716151/ https://ncbi.nlm.nih.gov/pubmed/31474783 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2018.1437043 |
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