Bayesian Identification of Moving Average Models

DOI10.1080/03610920701215449MaRDI QIDQ5421578zbMATH OpenOpenAlexFDO

Authors Samir Moustafa Shaarawy, Emad E. A. Soliman, S. S. Ali

Publication date 24 October 2007

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920701215449

zbMATH Keywords

automatic techniquesidentificationmoving average processesnormal gamma densityposterior probability mass function

Mathematics Subject Classification ID

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

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Cites work

• A new look at the statistical model identification
• Bayesian Identification of Seasonal Autoregressive Models
• Fully Bayesian analysis of ARMA time series models
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• scientific article; zbMATH DE number 3713041 (Why is no real title available?)
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• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
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Cited in

(12)

• A Bayesian analysis of moving average processes with time-varying parameters
• Identification of moving average models: a Bayesian approach
• Bayesian model order selection of vector moving average processes
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• scientific article; zbMATH DE number 5657473 (Why is no real title available?)
• scientific article; zbMATH DE number 1383466 (Why is no real title available?)
• Bayesian Identification of Seasonal Autoregressive Models
• Kullback-Leibler divergence to evaluate posterior sensitivity to different priors for autoregressive time series models
• Bayesian identification of seasonal multivariate autoregressive processes
• Bayesian Identification of Multivariate Autoregressive Processes
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• An effectiveness study of the Bayesian inference with multivariate autoregressive moving average processes

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