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The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis
Villani, Mattias; Larsson, Rolf - Sveriges Riksbank - 2004
likelihood estimation is discussed and a complete Bayesian analysis of the multivariate split normal distribution is developed. …
Persistent link: https://www.econbiz.de/10005190794
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Bayes Estimators of the Cointegration Space
Villani, Mattias - Sveriges Riksbank - 2003
A neglected aspect of the otherwise fairly well developed Bayesian analysis of cointegration is the point estimation of …
Persistent link: https://www.econbiz.de/10005190812