| bibtype |
K -
Conference Paper (Czech conference)
|
| ARLID |
0346969 |
| utime |
20240103193823.8 |
| mtime |
20100914235959.9 |
| WOS |
000287979900102 |
| title
(primary) (eng) |
Bayesian vector auto-regression model with Laplace errors applied to financial market data |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0346968 |
| ISBN |
978-80-7394-218-2 |
| title
|
Proceedings of Mathematical Methods in Economics 2010 |
| page_num |
602-608 |
| publisher |
| place |
České Budějovice |
| name |
University of South Bohemia, Faculty of Economics |
| year |
2010 |
|
| editor |
|
| editor |
| name1 |
Friebelová |
| name2 |
Jana |
|
|
| keyword |
auto-regression |
| keyword |
robust |
| keyword |
parameter estimation |
| author
(primary) |
| ARLID |
cav_un_auth*0263960 |
| name1 |
Šindelář |
| name2 |
Jan |
| full_dept (cz) |
Adaptivní systémy |
| full_dept (eng) |
Department of Adaptive Systems |
| department (cz) |
AS |
| department (eng) |
AS |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
1M0572 |
| agency |
GA MŠk |
| ARLID |
cav_un_auth*0001814 |
|
| project |
| project_id |
GA102/08/0567 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0239566 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
The article presents alternative version of Bayesian vector auto-regression model with Laplace distributed innovations. Bayesian estimation in such model is more computationally demanding than estimation in a model with normally distributed innovations, but because of the heavier tails of Laplace distribution, it is more robust. In the article I try to present the way of proceeding with the estimation, obtaining a full posterior distribution of the parameters as a result. At the end an efficient algorithm is sketched, but this part of the research is still unfinished. |
| action |
| ARLID |
cav_un_auth*0263925 |
| name |
Mathematical Methods in Economics 2010 |
| place |
České Budějovice |
| dates |
08.09.2010-10.09.2010 |
| country |
CZ |
|
| reportyear |
2011 |
| RIV |
BB |
| permalink |
http://hdl.handle.net/11104/0187854 |
| arlyear |
2010 |
| mrcbU34 |
000287979900102 WOS |
| mrcbU63 |
cav_un_epca*0346968 Proceedings of Mathematical Methods in Economics 2010 978-80-7394-218-2 602 608 České Budějovice University of South Bohemia, Faculty of Economics 2010 |
| mrcbU67 |
Houda Michal 340 |
| mrcbU67 |
Friebelová Jana 340 |
|