Publication details
Conference Paper (Czech conference)
Bayesian vector auto-regression model with Laplace errors applied to financial market data
: Proceedings of Mathematical Methods in Economics 2010, p. 602-608 , Eds: Houda Michal, Friebelová Jana
: Mathematical Methods in Economics 2010, (České Budějovice, CZ, 08.09.2010-10.09.2010)
: CEZ:AV0Z10750506
: 1M0572, GA MŠk, GA102/08/0567, GA ČR
: auto-regression, robust, parameter estimation
(eng): The article presents alternative version of Bayesian vector auto-regression model with Laplace distributed innovations. Bayesian estimation in such model is more computationally demanding than estimation in a model with normally distributed innovations, but because of the heavier tails of Laplace distribution, it is more robust. In the article I try to present the way of proceeding with the estimation, obtaining a full posterior distribution of the parameters as a result. At the end an efficient algorithm is sketched, but this part of the research is still unfinished.
: BB