Rank estimation in Cointegrated Vector Auto-Regression models via automated Trans-dimensional Markov chain Monte Carlo - researchr publication authors

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Gareth W. Peters, Ben Lasscock, Kannan Balakrishnan. Rank estimation in Cointegrated Vector Auto-Regression models via automated Trans-dimensional Markov chain Monte Carlo. In 4th IEEE International Workshop on Computational Advances in Multi-Sensor Adaptive Processing, CAMSAP 2011, San Juan, PR, USA, December 13-16, 2011. pages 41-44, IEEE, 2011. [doi]

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