Bayesian Inferences and Forecasts With Multiple Autoregressive Moving Average Models

DOI10.1080/03610918908812836zbMath0695.62221OpenAlexW2012977239MaRDI QIDQ3471572

Samir Moustafa Shaarawy

Publication date: 1989

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918908812836

zbMATH Keywords

posterior distributionmatric-variate generalization of t distributionmatrix t-approximationmultiple ARMA processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (2)

An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes ⋮ Bayesian classification with multivariate autoregressive sources that might have different orders

Cites Work

• Fully Bayesian analysis of ARMA time series models
• Analysis of autoregressive-moving average models: Estimation and prediction
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Matricvariate Generalizations of the Multivariate $t$ Distribution and the Inverted Multivariate $t$ Distribution
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