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Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
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Publications
Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
Fractional Bayesian Lag Length Inference in Multivariate Autoregressive Processes
MV
Mattias Villani
Mattias Villani
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1 January 2001
journal article
Published by
Wiley
in
Journal of Time Series Analysis
Vol. 22
(1)
,
67-86
https://doi.org/10.1111/1467-9892.00212
Abstract
No abstract available
Keywords
FRACTIONAL MARGINAL LIKELIHOOD
IMPROPER PRIOR
LAG LENGTH SELECTION
VECTOR AUTOREGRESSION
Cited by 9 articles