Bayesian estimation of the autocovariance of a model error in time series
时间序列模型误差自协方差的贝叶斯估计
Autocovariance of the error term in a time series model plays a key role in the estimation and inference for the model that it belongs to. Typically, some arbitrary parametric structure is assumed upon the error to simplify the estimation, which inevitably introduces potential model-misspecification. We thus conduct nonparametric estimation of it. To avoid the difficult bandwidth selection issue under the traditional nonparametric truncation approach, this paper conducts the…