Bayesian Identification of Multivariate Autoregressive Processes

DOI10.1080/03610920701504370MaRDI QIDQ5458002zbMATH OpenOpenAlexFDO

Authors Samir Moustafa Shaarawy, S. S. Ali

Publication date 10 April 2008

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

Full work available at URL https://doi.org/10.1080/03610920701504370

zbMATH Keywords

identificationprobability mass functionmultivariate autoregressive processesconditional likelihood functionmatrix normal-Wishart distribution

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4176283 (Why is no real title available?)
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• A new look at the statistical model identification
• Bayesian Identification of Seasonal Autoregressive Models
• Fully Bayesian analysis of ARMA time series models
• Modeling Multiple Times Series with Applications

Cited in

(5)

• Bayesian identification of seasonal multivariate autoregressive processes
• Bayesian modeling and forecasting of vector autoregressive moving average processes
• Bayesian model order selection of vector moving average processes
• Structured priors for multivariate time series
• Bayesian Identification of Seasonal Autoregressive Models

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