Time Series: Modeling, Computation, and Inference

By R. Prado, Matthew West. 2010

307 citations recorded by the source corpus.

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Penalising Model Component Complexity: A Principled, Practical Approach to Constructing Priors (2014, background): “It is clear that the parameter space has a complicated geometry and that the standard prior, which truncates a multivariate normal prior onto this space (Chib, 1993; Prado and West, 2010), is suboptimal.”
Large Order-Invariant Bayesian VARs with Stochastic Volatility (2021, methodology): “Multivariate SV models based on this approach are considered in Uhlig (1997), West and Harrison (2006), Prado and West (2010), Bognanni (2018) and Arias, Rubio-Ramirez, and Shin (2022).”
The Evolution of Forecast Density Combinations in Economics (2018, unknown): “16) and Prado and West (2010) (chap.”