Computational Bayesian Statistics Journal Club

(Ben Goodrich [Columbia] & Sarah Heaps [Newcastle] leading)
Anindya Roy, Tucker S. McElroy, and Peter Linton
2019. Constrained Estimation of Causal Invertible VARMA.

Ben will focus on appendix S2 (mostly equations S2.6), which is a concrete example.

Links:
Paper
Supplement

Sarah will discuss the following including an overview (you shouldn’t need to read it)

Sarah E. Heaps. 2020. Enforcing stationarity through the prior in vector autoregressions.
Link:
arXiv:2004.09455

Please email Sara Mejias Gonzalez at [email protected] for Zoom information if you would like to participate