Bayesian median autoregression for robust time series forecasting
Zijian Zeng, Meng Li
Topics & Concepts
Autoregressive modelMarkov chain Monte CarloBayesian probabilityQuantileModel selectionBayesian inferenceEconometricsQuantile regressionComputer scienceMathematicsStatisticsStatistical Methods and InferenceForecasting Techniques and ApplicationsFinancial Risk and Volatility Modeling