A Bayesian approach to modelling graphical vector autoregressions
J Corander, M Villani - Journal of Time Series Analysis, 2006 - Wiley Online Library
… As a result of the very large number of model structures that may be considered, simulation-based inference, such as Markov chain Monte Carlo, is not feasible. Therefore, we derive an …
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… As a result of the very large number of model structures that may be considered, simulation-based inference, such as Markov chain Monte Carlo, is not feasible. Therefore, we derive an …