BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER

DOI10.1111/j.1467-9892.1994.tb00188.xzbMath0800.62549OpenAlexW1980264500MaRDI QIDQ4299022

Robert E. McCulloch, Ruey S. Tsay

Publication date: 29 June 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00188.x

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Probabilistic methods, stochastic differential equations (65C99)

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Cites Work

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• Sampling-Based Approaches to Calculating Marginal Densities
• The Calculation of Posterior Distributions by Data Augmentation
• Bayesian Analysis of Regression Error Terms
• The Effects of Seat Belt Legislation on British Road Casualties: A Case Study in Structural Time Series Modelling
• Hierarchical Bayesian Analysis of Changepoint Problems

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