Modeling Multivariate Positive-Valued Time Series Using R-INLA
使用 R-INLA 建模多变量正值时间序列
In this paper we describe fast Bayesian statistical analysis of vector positive-valued time series, with application to interesting financial data streams. We discuss a flexible level correlated model (LCM) framework for building hierarchical models for vector positive-valued time series. The LCM allows us to combine marginal gamma distributions for the positive-valued component responses, while accounting for association among the components at a latent level. We use…