Bayesian analysis of bilinear time series models : a gibbs sampling approach

DOI10.1080/03610929208830987MaRDI QIDQ4202665zbMATH OpenOpenAlexFDO

Authors Cathy W. S. Chen

Publication date 4 October 1993

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

Full work available at URL https://doi.org/10.1080/03610929208830987

Mathematics Subject Classification ID

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

Cites work

• A new look at the statistical model identification
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Bayesian inferences and forecasting in bilinear time series models
• Hierarchical Bayesian Analysis of Changepoint Problems
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 3357742 (Why is no real title available?)
• On forecasting with univariate autoregressive processes: a bayesian approach
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Theory of Bilinear Time Series Models

Cited in

(5)

• Detection of additive outliers in bilinear time series
• On the selection of subset bilinear time series models: a genetic algorithm approach
• On the non-negative first-order exponential bilinear time series model
• Bayesian analysis of two-regime threshold autoregressive moving average model with exogenous inputs
• BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS

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