Bayesian Autoregressive Modeling
The priors may be: Litterman random walk plus drift prior; Raynauld-Simonato seasonal random walk plus drift prior or Canova prior: seasonal and non-seasonal unit roots via stochastic constraints + Litterman prior. Combination is achieved using Theil-Goldberger mixed estimation.
Estimation uses Theil-Goldberger mixed procedure or OLS.
Calibration may be performed using axial search.
Analytics based on the AR filter.
Cite As
Enrique M. Quilis (2024). Bayesian Autoregressive Modeling (https://www.mathworks.com/matlabcentral/fileexchange/26955-bayesian-autoregressive-modeling), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform Compatibility
Windows macOS LinuxCategories
Tags
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!Discover Live Editor
Create scripts with code, output, and formatted text in a single executable document.
Version | Published | Release Notes | |
---|---|---|---|
1.0.0.0 |