Concepedia

Bayesian Autoregressive Models

Bayesian Autoregressive Models is a statistical modeling framework that belongs to the class of time series models in which future values are predicted as a linear combination of past observations, distinguished by the incorporation of Bayesian inference to estimate model parameters and quantify uncertainty through posterior distributions.

234

Publications

14.5K

Citations

450

Authors

276

Institutions

Publications per year

2017–2026

61

Parents

Publications

234

Forecasting With Bayesian Vector Autoregressions—Five Years of Experience

Robert B. Litterman · Journal of Business and Economic Statistics · 1986 · 1.1K citations

, , +16

Bayesian Forecasting and Dynamic Models (2nd edn)

F P Wheeler · Journal of the Operational Research Society · 1998 · 684 citations

, , +13

A Bayesian extension of the minimum AIC procedure of autoregressive model fitting

Hirotugu Akaike · Biometrika · 1979 · 612 citations

, , +13

Bayes Inference via Gibbs Sampling of Autoregressive Time Series Subject to Markov Mean and Variance Shifts

James H. Albert, Siddhartha Chib · Journal of Business and Economic Statistics · 1993 · 455 citations

, , +16

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

Todd E. Clark · Journal of Business and Economic Statistics · 2010 · 435 citations

, , +17

1–5 of 234

Authors

450

  1. RG
    Rangan Gupta

    University of Pretoria, South Africa

    9 publications · 280 citations

    9

    h-index

  2. PÖ
    Pär Österholm

    National Institute of Economic Research, Sweden

    8 publications · 161 citations

    8

    h-index

  3. SM
    Stephen M. Miller

    University of Nevada, Las Vegas, United States

    5 publications · 111 citations

    5

    h-index

  4. DK
    Dimitris Korobilis

    University of Glasgow, United Kingdom

    4 publications · 288 citations

    4

    h-index

  5. RK
    Robert Kohn

    UNSW Sydney, Australia

    4 publications · 170 citations

    4

    h-index

1–5 of 450

Institutions

276

  1. European Central Bank

    Frankfurt am Main, Germany

    9 h-index

    15 publications

    1K citations

  2. University of Pretoria

    Pretoria, South Africa

    8 h-index

    11 publications

    322 citations

  3. Federal Reserve Bank of Minneapolis

    Minneapolis, United States

    5 h-index

    7 publications

    1.6K citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    5 h-index

    7 publications

    408 citations

  5. UNSW Sydney

    Sydney, Australia

    5 h-index

    27 publications

    1K citations

  6. International Monetary Fund

    Washington D.C., United States

    5 h-index

    6 publications

    123 citations

  7. Washington University in St. Louis

    St Louis, United States

    4 h-index

    4 publications

    707 citations

  8. Queen Mary University of London

    London, United Kingdom

    4 h-index

    6 publications

    753 citations

1–8 of 276

Venues

  1. Journal of Econometrics

    15 publications · 982 citations

    14

    h-index

  2. SSRN Electronic Journal

    Repository · 16 publications · 770 citations

    13

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 12 publications · 2.9K citations

    12

    h-index

  4. International Journal of Forecasting

    11 publications · 685 citations

    11

    h-index

  5. Journal of Time Series Analysis

    7 publications · 363 citations

    7

    h-index

1–5