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Nonstationary Bayesian time series models with time-varying parameters and regime-switching
(University of Missouri--Columbia, 2021)
limiting its usage. This dissertation proposes a computationally efficient multivariate Bayesian Circular Lattice Filter to extend the usage of the TV-VAR model to a broader class of highdimensional problems. Finally, modeling and forecasting nonstationary...
Hierarchical nonlinear, multivariate, and spatially-dependent time-frequency functional methods
(University of Missouri--Columbia, 2013)
through carefully chosen basis expansions (empirical orthogonal functions) and feature-extraction stochastic search variable selection (SSVS). Properties of the methodology are examined through an extensive simulation study. Finally, we illustrate...