Rank estimation in Cointegrated Vector Auto-Regression models via automated Trans-dimensional Markov chain Monte Carlo.
Gareth W. PetersBen LasscockKannan BalakrishnanPublished in: CAMSAP (2011)
Keyphrases
- regression model
- markov chain monte carlo
- parameter estimation
- model selection
- approximate inference
- gaussian process
- posterior distribution
- markov chain
- generative model
- monte carlo
- regression methods
- bayesian inference
- sampling algorithm
- particle filter
- posterior probability
- graphical models
- least squares
- particle filtering
- neural network
- decision trees
- probabilistic inference
- probability distribution