Graph-based multivariate conditional autoregressive models

Proper multivariate conditional autoregressive models for spatial data analysis.

In the past decade conditional autoregressive modelling specifications have found considerable application for the analysis of spatial data. Nearly all of this work is done in the univariate case and employs an improper specification. Our contribution here is to move to multivariate conditional autoregressive models and to provide rich, flexible classes which yield proper distributions. Our app...

Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity

where $‘s inre r*onst,ant matricaes; detI{@(z)} = 11 @,x . w * $JP[ = 0 has ci 5 771, urrit roots and ‘I’ = 711 d roots omside the urrit, circle: tPt = ((1 it, 7 c+> is a sequcnce of independent1 and idcntically distlributled (i.i.tl) matrices with mean zero and nonnegativc covarianc~e IC[ /le+&) ~f’(&)] = 0; pit is an i.i.d ramlom vector witIh mean zero and positive covariance E ( etef j = CA ...

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models

Time varying correlations are often estimated with multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models that are linear in squares and cross products of the data. A new class of multivariate models called dynamic conditional correlation models is proposed. These have the  exibility of univariate GARCH models coupled with parsimonious parametric models for the c...

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models Author(s):

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...

Chapter 40 : Multivariate autoregressive models