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Penalised Complexity Priors for Stationary Autoregressive Processes

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  • Sigrunn Holbek Sørbye
  • Håvard Rue

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  • Sigrunn Holbek Sørbye & Håvard Rue, 2017. "Penalised Complexity Priors for Stationary Autoregressive Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 923-935, November.
    • Handle: RePEc:bla:jtsera:v:38:y:2017:i:6:p:923-935
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    References listed on IDEAS

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    1. Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996. "Bayesian estimation of an autoregressive model using Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 74(2), pages 237-254, October.
    2. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
    3. DeJong, David N. & Whiteman, Charles H., 1991. "Reconsidering 'trends and random walks in macroeconomic time series'," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 221-254, October.
    4. Chib, Siddhartha, 1993. "Bayes regression with autoregressive errors : A Gibbs sampling approach," Journal of Econometrics, Elsevier, vol. 58(3), pages 275-294, August.
    5. Martins, Thiago G. & Simpson, Daniel & Lindgren, Finn & Rue, Håvard, 2013. "Bayesian computing with INLA: New features," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 68-83.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. Berger, James O. & Yang, Ruo-Yong, 1994. "Noninformative Priors and Bayesian Testing for the AR(1) Model," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 461-482, August.
    8. Albert, James H & Chib, Siddhartha, 1993. "Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 1-15, January.
    9. Sahu, Sujit K. & Gelfand, Alan E. & Holland, David M., 2007. "High-Resolution SpaceTime Ozone Modeling for Assessing Trends," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1221-1234, December.
    10. Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
    11. James P. Lesage, 1997. "Bayesian Estimation of Spatial Autoregressive Models," International Regional Science Review, , vol. 20(1-2), pages 113-129, April.
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    Cited by:

    1. Massimo Ventrucci & Daniela Cocchi & Gemma Burgazzi & Alex Laini, 2020. "PC priors for residual correlation parameters in one-factor mixed models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 745-765, December.
    2. Peter A. Gao & Hannah M. Director & Cecilia M. Bitz & Adrian E. Raftery, 2022. "Probabilistic Forecasts of Arctic Sea Ice Thickness," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(2), pages 280-302, June.
    3. I. Gede Nyoman Mindra Jaya & Henk Folmer, 2022. "Spatiotemporal high-resolution prediction and mapping: methodology and application to dengue disease," Journal of Geographical Systems, Springer, vol. 24(4), pages 527-581, October.
    4. Guido Fioravanti & Michela Cameletti & Sara Martino & Giorgio Cattani & Enrico Pisoni, 2022. "A spatiotemporal analysis of NO2 concentrations during the Italian 2020 COVID‐19 lockdown," Environmetrics, John Wiley & Sons, Ltd., vol. 33(4), June.
    5. Diego Battagliese & Clara Grazian & Brunero Liseo & Cristiano Villa, 2023. "Copula modelling with penalized complexity priors: the bivariate case," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(2), pages 542-565, June.

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