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Bayesian estimation of autoregressive models with time-varying coefficients
Received date: 2016-03-16
Online published: 2017-10-30
This paper analyzes a time-varying autoregression model where coeffcients are correlated at different time. When only one sample path is chosen, the Bayesian method is used for estimation. Formulas of estimation of the first order model are presented. This paper also discusses how the estimation is affected by the coeffcient values and the length of samples. To conclude, based on an empirical evidence, it is shown that the statistical results are consistent with the actual data.
CHEN Yunxian, GAO Xingyue, WANG Yuying, HE Youhua . Bayesian estimation of autoregressive models with time-varying coefficients[J]. Journal of Shanghai University, 2017 , 23(5) : 732 -741 . DOI: 10.12066/j.issn.1007-2861.1754
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