Efficient Bayesian PARCOR approaches for dynamic modeling of multivariate time series
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DOI: 10.1111/jtsa.12534
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- Sui, Yuelei & Holan, Scott H. & Yang, Wen-Hsi, 2023. "Bayesian circular lattice filters for computationally efficient estimation of multivariate time-varying autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 181(C).
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