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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F10%3A00346969%21RIV11-MSM-67985556
rdf:type
n16:Vysledek skos:Concept
dcterms:description
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. 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.
dcterms:title
Bayesian vector auto-regression model with Laplace errors applied to financial market data Bayesian vector auto-regression model with Laplace errors applied to financial market data
skos:prefLabel
Bayesian vector auto-regression model with Laplace errors applied to financial market data Bayesian vector auto-regression model with Laplace errors applied to financial market data
skos:notation
RIV/67985556:_____/10:00346969!RIV11-MSM-67985556
n4:aktivita
n18:Z n18:P
n4:aktivity
P(1M0572), P(GA102/08/0567), Z(AV0Z10750506)
n4:dodaniDat
n14:2011
n4:domaciTvurceVysledku
n19:9050507
n4:druhVysledku
n8:D
n4:duvernostUdaju
n17:S
n4:entitaPredkladatele
n5:predkladatel
n4:idSjednocenehoVysledku
248501
n4:idVysledku
RIV/67985556:_____/10:00346969
n4:jazykVysledku
n9:eng
n4:klicovaSlova
auto-regression; robust; parameter estimation
n4:klicoveSlovo
n11:robust n11:auto-regression n11:parameter%20estimation
n4:kontrolniKodProRIV
[53088D18E15E]
n4:mistoKonaniAkce
České Budějovice
n4:mistoVydani
České Budějovice
n4:nazevZdroje
Proceedings of Mathematical Methods in Economics 2010
n4:obor
n21:BB
n4:pocetDomacichTvurcuVysledku
1
n4:pocetTvurcuVysledku
1
n4:projekt
n10:GA102%2F08%2F0567 n10:1M0572
n4:rokUplatneniVysledku
n14:2010
n4:tvurceVysledku
Šindelář, Jan
n4:typAkce
n15:EUR
n4:zahajeniAkce
2010-09-08+02:00
n4:zamer
n13:AV0Z10750506
s:numberOfPages
7
n20:hasPublisher
University of South Bohemia, Faculty of Economics
n12:isbn
978-80-7394-218-2