Bayesian Comparison of ARIMA and Stationary ARMA Models

DOI10.1111/J.1751-5823.1998.TB00376.XMaRDI QIDQ4231018zbMATH OpenOpenAlexFDO

Authors Paul Newbold, John Marriott

Publication date 10 May 1999

Published in International Statistical Review (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1751-5823.1998.tb00376.x

zbMATH Keywords

model comparisonposterior oddsrandom walktime series modelsunit autoregressive roots

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach
• scientific article; zbMATH DE number 6929012
• Bayesian estimate of parameters for ARMA model forecasting
• Bayesian estimation of switching ARMA models
• Bayesian inference for ARFIMA models
• Bayesian inference for ARMA model with stable innovations and applications

Cites work

• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• An Asymtotic Theory of Bayesian Inference for Time Series
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Fully Bayesian analysis of ARMA time series models
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Testing for unit roots in a Bayesian framework
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The exact likelihood function for a mixed autoregressive-moving average process
• Understanding Unit Rooters: A Helicopter Tour

Cited in

(11)

• The strength of evidence for unit autoregressive roots and structural breaks: A Bayesian perspective
• A Bayesian note on competing correlation structures in the dynamic linear regression model
• Bayesian estimation of switching ARMA models
• A robust Bayesian approach for unit root testing
• scientific article; zbMATH DE number 1522736 (Why is no real title available?)
• scientific article; zbMATH DE number 6929012 (Why is no real title available?)
• Comparison of forecasts for arma models between a random coefficient approach and a bayesian approach
• Bayesian modeling of autoregressive partial linear models with scale mixture of normal errors
• Bayesian analysis of beta autoregressive moving average models
• The methodological problem of unit roots: stationarity and its consequences in the context of the Tinbergen debate
• Bayesian diagnostics in a partially linear model with first-order autoregressive skew-normal errors

This page was built for publication: Bayesian Comparison of ARIMA and Stationary ARMA Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4231018)