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National Repository of Grey Literature 1 records found  Search took 0.00 seconds. 
Bayesian vector auto-regression model with Laplace errors applied to financial market data
 Šindelář, Jan
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.
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