Bayesian Estimation of Multiple Covariate of Autoregressive (MC-AR) Model

Jitendra Kumar (), Ashok Kumar () and Varun Agiwal ()
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Jitendra Kumar: Central University of Rajasthan
Ashok Kumar: MIT Art, Design & Technology University
Varun Agiwal: Indian Institute of Public Health

Annals of Data Science, 2024, vol. 11, issue 4, No 8, 1301 pages

Abstract: Abstract In present scenario, handling covariate/explanatory variable with the model is one of most important factor to study with the models. The main advantages of covariate are it’s dependency on past observations. So, study variable is modelled after explaining both on own past and past and future observation of covariates. Present paper deals estimation of parameters of autoregressive model with multiple covariates under Bayesian approach. A simulation and empirical study is performed to check the applicability of the model and recorded the better results.

Keywords: Autoregressive model; Covariate; Bayesian inference (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s40745-023-00468-2

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